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 of 41% 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 (91.2%)
• During the last 3 years, the total return, or performance is -4.9%, which is smaller, thus worse than the value of 30.8% 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.'

• Looking at the compounded annual growth rate (CAGR) of 7.1% 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 (13.9%)
• Looking at compounded annual growth rate (CAGR) in of -1.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.4%).

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.'

• Looking at the historical 30 days volatility of 25.1% 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 (21%)
• During the last 3 years, the historical 30 days volatility is 24.4%, which is larger, thus worse than the value of 17.5% from the benchmark.

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.'

• The downside deviation over 5 years of iShares MSCI Netherlands Index Fund is 17.9%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the downside volatility is 16.9%, which is greater, thus worse than the value of 12.3% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Netherlands Index Fund is 0.18, which is lower, thus worse compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.17 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.'

• Looking at the ratio of annual return and downside deviation of 0.26 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 (0.76)
• Looking at downside risk / excess return profile in of -0.25 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

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 Downside risk index of 17 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 (9.33 )
• Looking at Ulcer Ratio in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.89 ).

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.'

• 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 (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -38.7 days, which is lower, thus worse than the value of -22.4 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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 higher, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 526 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (375 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.'

• Looking at the average time in days below previous high water mark of 208 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 (122 days)
• Compared with SPY (114 days) in the period of the last 3 years, the average days below previous high of 202 days is higher, thus worse.