iShares MSCI Netherlands Index Fund (EWN)

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.'

• Looking at the total return of 55.6% in the last 5 years of iShares MSCI Netherlands Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (82.8%)
• During the last 3 years, the total return, or performance is 75.5%, which is larger, thus better than the value of 75.4% 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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Netherlands Index Fund is 9.3%, which is lower, thus worse compared to the benchmark SPY (12.9%) in the same period.
• Looking at annual return (CAGR) in of 20.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (20.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 23.1% in the last 5 years of iShares MSCI Netherlands Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the historical 30 days volatility is 20.5%, which is larger, thus worse than the value of 15.3% from the benchmark.

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 (11.8%) in the period of the last 5 years, the downside volatility of 15.7% of iShares MSCI Netherlands Index Fund is higher, thus worse.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 13.6% is larger, thus worse.

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 risk / return profile (Sharpe) of 0.29 in the last 5 years of iShares MSCI Netherlands Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.61)
• Compared with SPY (1.19) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.89 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.88) in the period of the last 5 years, the excess return divided by the downside deviation of 0.43 of iShares MSCI Netherlands Index Fund is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 1.34, which is lower, thus worse than the value of 1.77 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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 17 of iShares MSCI Netherlands Index Fund is larger, thus worse.
• Compared with SPY (3.52 ) in the period of the last 3 years, the Ulcer Ratio of 7.13 is larger, 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.'

• The maximum reduction from previous high over 5 years of iShares MSCI Netherlands Index Fund is -43.6 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -19.8 days, which is lower, thus worse than the value of -18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 675 days of iShares MSCI Netherlands Index Fund is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 209 days, which is greater, thus worse than the value of 87 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.'

• Looking at the average time in days below previous high water mark of 216 days in the last 5 years of iShares MSCI Netherlands Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days under water is 52 days, which is greater, thus worse than the value of 20 days from the benchmark.