iShares MSCI Belgium ETF (EWK)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of iShares MSCI Belgium ETF is 33.5%, which is lower, thus worse compared to the benchmark SPY (121.2%) in the same period.
• Compared with SPY (67.5%) in the period of the last 3 years, the total return, or increase in value of 6.4% is lower, thus worse.

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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the annual performance (CAGR) of 6% of iShares MSCI Belgium ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 2.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (18.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of iShares MSCI Belgium ETF is 20.1%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at historical 30 days volatility in of 23.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Looking at the downside risk of 15.2% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
• Looking at downside volatility in of 17.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.17 of iShares MSCI Belgium ETF is lower, thus worse.
• Looking at Sharpe Ratio in of -0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.72).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the excess return divided by the downside deviation of 0.23 in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.08)
• During the last 3 years, the downside risk / excess return profile is -0.02, which is lower, thus worse than the value of 1 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.'

• Looking at the Ulcer Ratio of 14 in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.59 )
• Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.83 ).

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.'

• Looking at the maximum drop from peak to valley of -42.8 days in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -39 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

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 under water of 805 days of iShares MSCI Belgium ETF is greater, thus worse.
• Looking at maximum days under water in of 684 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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 under water of 280 days of iShares MSCI Belgium ETF is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 315 days, which is higher, thus worse than the value of 35 days from the benchmark.