iShares MSCI Netherlands Index Fund (EWN)

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.'

• The total return, or performance over 5 years of iShares MSCI Netherlands Index Fund is 55.3%, which is lower, thus worse compared to the benchmark SPY (100.4%) in the same period.
• Compared with SPY (87.5%) in the period of the last 3 years, the total return, or performance of 66.4% is lower, thus worse.

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 9.2% 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 (15%)
• Compared with SPY (23.4%) in the period of the last 3 years, the annual return (CAGR) of 18.6% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 22.5% of iShares MSCI Netherlands Index Fund is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 19.3%, which is greater, thus worse than the value of 15.4% 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 deviation of 15.3% 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 (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside risk of 13% 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.'

• Compared with the benchmark SPY (0.73) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.3 of iShares MSCI Netherlands Index Fund is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.83 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.36).

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 (1.06) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.44 of iShares MSCI Netherlands Index Fund is smaller, thus worse.
• Compared with SPY (2.05) in the period of the last 3 years, the downside risk / excess return profile of 1.24 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Downside risk index over 5 years of iShares MSCI Netherlands Index Fund is 17 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Downside risk index of 7.1 is higher, thus worse.

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.'

• Looking at the maximum reduction from previous high of -43.6 days 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 (-24.5 days)
• Looking at maximum reduction from previous high in of -19.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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 time in days below previous high water mark of 675 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 (488 days)
• Looking at maximum time in days below previous high water mark in of 209 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 216 days of iShares MSCI Netherlands Index Fund is higher, thus worse.
• Compared with SPY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 56 days is higher, thus worse.