iShares MSCI Belgium ETF (EWK)

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 performance of 65.3% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (143%)
• Looking at total return, or increase in value in of 14.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (39%).

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.'

• Compared with the benchmark SPY (19.5%) in the period of the last 5 years, the annual performance (CAGR) of 10.6% of iShares MSCI Belgium ETF is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 4.8%, which is lower, thus worse than the value of 11.7% from the benchmark.

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 30 days standard deviation of 21.2% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (19.6%)
• Looking at 30 days standard deviation in of 18.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.1%).

DownVol:

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

• Looking at the downside deviation of 14.7% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.5%)
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 12.7% is higher, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the Sharpe Ratio of 0.38 in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.87)
• Compared with SPY (0.54) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.12 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 (1.26) in the period of the last 5 years, the excess return divided by the downside deviation of 0.55 of iShares MSCI Belgium ETF is lower, thus worse.
• Compared with SPY (0.77) in the period of the last 3 years, the excess return divided by the downside deviation of 0.18 is smaller, thus worse.

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 (8.32 ) in the period of the last 5 years, the Ulcer Index of 13 of iShares MSCI Belgium ETF is greater, thus worse.
• Compared with SPY (8.6 ) in the period of the last 3 years, the Ulcer Index of 11 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -35.2 days of iShares MSCI Belgium ETF is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -29.1 days, which is lower, thus worse than the value of -22.1 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.'

• The maximum days under water over 5 years of iShares MSCI Belgium ETF is 939 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 534 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.'

• The average days below previous high over 5 years of iShares MSCI Belgium ETF is 372 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days below previous high is 207 days, which is higher, thus worse than the value of 90 days from the benchmark.