iShares MSCI Japan Index Fund (EWJ)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 47.2% in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (85.9%)
• Looking at total return, or increase in value in of 75.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (73.7%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the compounded annual growth rate (CAGR) of 8.1% in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.3%)
• Looking at compounded annual growth rate (CAGR) in of 20.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (20.3%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The historical 30 days volatility over 5 years of iShares MSCI Japan Index Fund is 17.7%, which is larger, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.2%) in the period of the last 3 years, the volatility of 17.8% is greater, thus worse.

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 (11.8%) in the period of the last 5 years, the downside volatility of 12.2% of iShares MSCI Japan Index Fund is greater, thus worse.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 12% is greater, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the Sharpe Ratio of 0.32 in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.63)
• Compared with SPY (1.17) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.02 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.'

• The downside risk / excess return profile over 5 years of iShares MSCI Japan Index Fund is 0.46, which is lower, thus worse compared to the benchmark SPY (0.91) in the same period.
• Looking at excess return divided by the downside deviation in of 1.52 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.75).

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 (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 13 of iShares MSCI Japan Index Fund is higher, thus worse.
• Looking at Downside risk index in of 3.85 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.48 ).

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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -33.1 days of iShares MSCI Japan Index Fund is lower, thus worse.
• Looking at maximum drop from peak to valley in of -14.7 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 620 days in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 145 days, which is greater, thus worse than the value of 87 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 181 days in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (19 days) in the period of the last 3 years, the average days under water of 36 days is larger, thus worse.