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 performance over 5 years of iShares MSCI Belgium ETF is 22.3%, which is lower, thus worse compared to the benchmark SPY (68.1%) in the same period.
• Looking at total return, or increase in value in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual performance (CAGR) of 4.1% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11%)
• Compared with SPY (13.8%) in the period of the last 3 years, the annual return (CAGR) of 4.6% is lower, thus worse.

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 volatility over 5 years of iShares MSCI Belgium ETF is 14.7%, which is higher, thus worse compared to the benchmark SPY (13.2%) in the same period.
• During the last 3 years, the historical 30 days volatility is 14.3%, which is higher, thus worse than the value of 12.4% 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 15.7%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (14%) in the period of the last 3 years, the downside volatility of 15.8% is greater, 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.'

• The Sharpe Ratio over 5 years of iShares MSCI Belgium ETF is 0.11, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• Compared with SPY (0.91) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.15 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the excess return divided by the downside deviation of 0.1 in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
• During the last 3 years, the ratio of annual return and downside deviation is 0.13, which is lower, thus worse than the value of 0.8 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Index of 8.83 in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.95 )
• During the last 3 years, the Downside risk index is 10 , which is higher, thus better than the value of 4 from the benchmark.

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 (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -28.7 days of iShares MSCI Belgium ETF is lower, thus worse.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -28.7 days is lower, thus worse.

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 (187 days) in the period of the last 5 years, the maximum days under water of 285 days of iShares MSCI Belgium ETF is greater, thus worse.
• During the last 3 years, the maximum days under water is 285 days, which is larger, thus worse than the value of 131 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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 79 days, which is greater, thus worse compared to the benchmark SPY (39 days) in the same period.
• Looking at average time in days below previous high water mark in of 77 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).