iShares MSCI Switzerland ETF (EWL)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (62.4%) in the period of the last 5 years, the total return, or increase in value of 32% of iShares MSCI Switzerland ETF is smaller, thus worse.
• Compared with SPY (39.3%) in the period of the last 3 years, the total return, or performance of 35.5% is smaller, 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 annual return (CAGR) of 5.7% in the last 5 years of iShares MSCI Switzerland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.2%)
• Compared with SPY (11.7%) in the period of the last 3 years, the annual performance (CAGR) of 10.7% is lower, thus worse.

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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 13.1% of iShares MSCI Switzerland ETF is lower, thus better.
• Looking at volatility in of 11.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13.2%).

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.'

• Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the downside volatility of 9.6% of iShares MSCI Switzerland ETF is lower, thus better.
• Compared with SPY (9.8%) in the period of the last 3 years, the downside risk of 8.3% is lower, thus better.

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 risk / return profile (Sharpe) of 0.25 in the last 5 years of iShares MSCI Switzerland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
• Compared with SPY (0.69) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.71 is larger, thus better.

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 (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.34 of iShares MSCI Switzerland ETF is lower, thus worse.
• Compared with SPY (0.94) in the period of the last 3 years, the downside risk / excess return profile of 0.98 is larger, thus better.

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 Downside risk index of 9.02 in the last 5 years of iShares MSCI Switzerland ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.98 )
• Looking at Downside risk index in of 5.9 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.12 ).

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.'

• The maximum DrawDown over 5 years of iShares MSCI Switzerland ETF is -21.4 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum DrawDown in of -17.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-19.3 days).

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.'

• Looking at the maximum days below previous high of 497 days in the last 5 years of iShares MSCI Switzerland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
• Looking at maximum days below previous high in of 340 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

• Looking at the average days below previous high of 159 days in the last 5 years of iShares MSCI Switzerland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (42 days)
• Looking at average time in days below previous high water mark in of 94 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (37 days).