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.'

• The total return over 5 years of iShares MSCI Belgium ETF is 32.6%, which is smaller, thus worse compared to the benchmark SPY (115.6%) in the same period.
• Looking at total return, or performance in of -4.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (43%).

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 (16.6%) in the period of the last 5 years, the annual return (CAGR) of 5.8% of iShares MSCI Belgium ETF is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is -1.5%, which is smaller, thus worse than the value of 12.6% from the benchmark.

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.'

• Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the volatility of 20% of iShares MSCI Belgium ETF is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 23%, which is greater, thus worse than the value of 22.8% from the benchmark.

DownVol:

'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.'

• The downside deviation over 5 years of iShares MSCI Belgium ETF is 15.2%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Looking at downside volatility in of 17.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.7%).

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.'

• The Sharpe Ratio over 5 years of iShares MSCI Belgium ETF is 0.17, which is smaller, thus worse compared to the benchmark SPY (0.75) in the same period.
• Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of -0.17 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.04) in the period of the last 5 years, the downside risk / excess return profile of 0.22 of iShares MSCI Belgium ETF is smaller, thus worse.
• Looking at excess return divided by the downside deviation in of -0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.61).

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 14 of iShares MSCI Belgium ETF is higher, thus worse.
• Looking at Downside risk index in of 18 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (7.14 ).

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 (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -42.8 days of iShares MSCI Belgium ETF is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -42.8 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of iShares MSCI Belgium ETF is 748 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum days below previous high is 748 days, which is higher, thus worse than the value of 139 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 days below previous high of 245 days in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
• During the last 3 years, the average time in days below previous high water mark is 373 days, which is higher, thus worse than the value of 45 days from the benchmark.