iShares MSCI Malaysia Index Fund (EWM)

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.'

• Looking at the total return, or performance of -20.6% 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 (62.7%)
• During the last 3 years, the total return is -15.7%, which is lower, thus worse than the value of 34.7% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of -4.5% 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 (10.2%)
• Looking at compounded annual growth rate (CAGR) in of -5.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.5%).

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 30 days standard deviation over 5 years of iShares MSCI Malaysia Index Fund is 18.3%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the 30 days standard deviation is 20.6%, which is smaller, thus better than the value of 24.1% 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.'

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 13.8% of iShares MSCI Malaysia Index Fund is lower, thus better.
• Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 15.7% is smaller, 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.'

• Looking at the Sharpe Ratio of -0.38 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 (0.37)
• Looking at ratio of return and volatility (Sharpe) in of -0.39 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.33).

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.'

• Looking at the excess return divided by the downside deviation of -0.51 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 (0.51)
• Looking at excess return divided by the downside deviation in of -0.51 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.45).

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.'

• Compared with the benchmark SPY (7.71 ) in the period of the last 5 years, the Ulcer Index of 19 of iShares MSCI Malaysia Index Fund is higher, thus worse.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Downside risk index of 11 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of iShares MSCI Malaysia Index Fund is -43.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -33.7 days is greater, thus better.

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.'

• Looking at the maximum days under water of 1129 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 (189 days)
• Looking at maximum days below previous high in of 455 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (189 days).

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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI Malaysia Index Fund is 520 days, which is greater, thus worse compared to the benchmark SPY (46 days) in the same period.
• Looking at average time in days below previous high water mark in of 178 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).