iShares MSCI Netherlands Index Fund (EWN)

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.'

• Looking at the total return, or performance of 70.2% 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 (108.7%)
• During the last 3 years, the total return, or performance is 75%, which is smaller, thus worse than the value of 76.8% 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 annual performance (CAGR) over 5 years of iShares MSCI Netherlands Index Fund is 11.3%, which is smaller, thus worse compared to the benchmark SPY (15.9%) in the same period.
• During the last 3 years, the annual return (CAGR) is 20.7%, which is lower, thus worse than the value of 21.1% 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 (17.3%) in the period of the last 5 years, the historical 30 days volatility of 22.6% of iShares MSCI Netherlands Index Fund is larger, thus worse.
• Compared with SPY (16.8%) in the period of the last 3 years, the 30 days standard deviation of 21.3% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside risk of 15.4% 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 (11.9%)
• Looking at downside deviation in of 13.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.9%).

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 risk / return profile (Sharpe) over 5 years of iShares MSCI Netherlands Index Fund is 0.39, which is lower, thus worse compared to the benchmark SPY (0.77) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.85 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.11).

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.'

• Looking at the ratio of annual return and downside deviation of 0.57 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 (1.13)
• During the last 3 years, the downside risk / excess return profile is 1.31, which is smaller, thus worse than the value of 1.7 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 17 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 (8.43 )
• Looking at Downside risk index in of 7.25 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.76 ).

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.'

• Looking at the maximum DrawDown 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)
• During the last 3 years, the maximum drop from peak to valley 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). 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 below previous high of 675 days 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 (488 days)
• Looking at maximum days below previous high in of 209 days in the period of the last 3 years, we see it is relatively higher, 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.'

• Looking at the average days below previous high of 217 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 (120 days)
• During the last 3 years, the average days under water is 55 days, which is larger, thus worse than the value of 22 days from the benchmark.