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 118.9%, which is lower, thus worse compared to the benchmark SPY (121.2%) in the same period.
• During the last 3 years, the total return, or performance is 59.3%, which is lower, thus worse than the value of 67.5% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 17% of iShares MSCI Netherlands Index Fund is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 16.8%, which is lower, thus worse than the value of 18.7% from the benchmark.

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 (18.7%) in the period of the last 5 years, the 30 days standard deviation of 19.6% of iShares MSCI Netherlands Index Fund is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 22.3%, which is smaller, thus better than the value of 22.5% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of iShares MSCI Netherlands Index Fund is 14.6%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the downside volatility is 16.5%, which is higher, thus worse than the value of 16.3% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI Netherlands Index Fund is 0.74, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.72) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.64 is smaller, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI Netherlands Index Fund is 1, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
• Compared with SPY (1) in the period of the last 3 years, the downside risk / excess return profile of 0.87 is lower, thus worse.

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 8.01 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 (5.59 )
• Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 8.79 is greater, 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 DrawDown over 5 years of iShares MSCI Netherlands Index Fund is -35.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -35.3 days, which is smaller, thus worse than the value of -33.7 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.'

• Looking at the maximum days under water of 446 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 (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 316 days is larger, 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.'

• Looking at the average days under water of 105 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 (33 days)
• Looking at average days under water in of 86 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).