iShares MSCI Italy ETF (EWI)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or increase in value of 41.9% in the last 5 years of iShares MSCI Italy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (125.9%)
• Looking at total return in of -3.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.4%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of iShares MSCI Italy ETF is 7.3%, which is smaller, thus worse compared to the benchmark SPY (17.7%) in the same period.
• Looking at annual performance (CAGR) in of -1.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 25.9% in the last 5 years of iShares MSCI Italy ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the 30 days standard deviation is 27.6%, which is larger, thus worse than the value of 22.8% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside volatility of 19.7% of iShares MSCI Italy ETF is greater, thus worse.
• During the last 3 years, the downside risk is 21.3%, which is higher, thus worse than the value of 16.7% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.18 in the last 5 years of iShares MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.81)
• Compared with SPY (0.46) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.14 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.12) in the period of the last 5 years, the excess return divided by the downside deviation of 0.24 of iShares MSCI Italy ETF is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.18, which is lower, thus worse than the value of 0.63 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 15 of iShares MSCI Italy ETF is larger, thus worse.
• Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.14 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -43 days of iShares MSCI Italy ETF is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -43 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 752 days of iShares MSCI Italy ETF is greater, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 752 days is larger, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 252 days of iShares MSCI Italy ETF is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 376 days, which is greater, thus worse than the value of 45 days from the benchmark.