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 increase in value of 40.8% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (122.1%)
• Compared with SPY (64.6%) in the period of the last 3 years, the total return, or increase in value of 16.6% 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.'

• Looking at the compounded annual growth rate (CAGR) of 7.1% in the last 5 years of iShares MSCI Belgium ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (17.3%)
• During the last 3 years, the annual return (CAGR) is 5.2%, which is smaller, thus worse than the value of 18.1% 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.'

• The historical 30 days volatility over 5 years of iShares MSCI Belgium ETF is 19.7%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 23.5% is larger, 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 (13.6%) in the period of the last 5 years, the downside risk of 14.7% of iShares MSCI Belgium ETF is higher, thus worse.
• Looking at downside deviation in of 17.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.4%).

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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.23 of iShares MSCI Belgium ETF is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.12, which is lower, thus worse than the value of 0.69 from the benchmark.

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.'

• Compared with the benchmark SPY (1.09) in the period of the last 5 years, the downside risk / excess return profile of 0.31 of iShares MSCI Belgium ETF is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 0.16 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.95).

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.'

• The Ulcer Ratio over 5 years of iShares MSCI Belgium ETF is 14 , which is greater, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.83 ).

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.'

• 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 smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -38.2 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.'

• The maximum days under water over 5 years of iShares MSCI Belgium ETF is 812 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 350 days, which is larger, 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.'

• Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 286 days of iShares MSCI Belgium ETF is larger, thus worse.
• Looking at average days under water in of 128 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).