iShares MSCI Malaysia Index Fund (EWM)

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 0.3% in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (98.1%)
• Looking at total return, or increase in value in of 10.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (35.3%).

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 0.1% in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.7%)
• During the last 3 years, the annual performance (CAGR) is 3.4%, which is lower, thus worse than the value of 10.6% 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.'

• The volatility over 5 years of iShares MSCI Malaysia Index Fund is 17.9%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Looking at 30 days standard deviation in of 12.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of iShares MSCI Malaysia Index Fund is 13.2%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 8.7% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.14 of iShares MSCI Malaysia Index Fund is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.07 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.46).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.81) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.19 of iShares MSCI Malaysia Index Fund is smaller, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.1, which is lower, thus worse than the value of 0.66 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 14 in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.32 )
• During the last 3 years, the Downside risk index is 12 , which is larger, thus worse than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -33.7 days in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -22.2 days, which is greater, thus better than the value of -24.5 days from the benchmark.

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 time in days below previous high water mark over 5 years of iShares MSCI Malaysia Index Fund is 931 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 590 days is greater, thus worse.

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 under water over 5 years of iShares MSCI Malaysia Index Fund is 373 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• Looking at average time in days below previous high water mark in of 244 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (178 days).