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.'

• Compared with the benchmark SPY (105.2%) in the period of the last 5 years, the total return of -8.8% of iShares MSCI Malaysia Index Fund is smaller, thus worse.
• During the last 3 years, the total return is 8.5%, which is lower, thus worse than the value of 58% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of iShares MSCI Malaysia Index Fund is -1.8%, which is lower, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (16.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.8% 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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the historical 30 days volatility of 14.3% of iShares MSCI Malaysia Index Fund is smaller, thus better.
• During the last 3 years, the 30 days standard deviation is 14.1%, which is lower, thus better than the value of 17.2% from the benchmark.

DownVol:

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

• Looking at the downside risk of 10.1% in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.1%)
• Compared with SPY (11.5%) in the period of the last 3 years, the downside deviation of 9.6% is lower, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Malaysia Index Fund is -0.3, which is smaller, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.82).

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.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI Malaysia Index Fund is -0.43, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
• Compared with SPY (1.22) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.03 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 20 of iShares MSCI Malaysia Index Fund is greater, thus worse.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 10 is higher, thus worse.

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 drop from peak to valley of -33 days in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -22.7 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days under water of 1169 days in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 383 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 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.'

• The average days below previous high over 5 years of iShares MSCI Malaysia Index Fund is 551 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 139 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).