iShares MSCI Spain ETF (EWP)

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.'

• Compared with the benchmark SPY (113.2%) in the period of the last 5 years, the total return, or increase in value of 133.2% of iShares MSCI Spain ETF is higher, thus better.
• Compared with SPY (67.5%) in the period of the last 3 years, the total return of 120.7% is higher, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of iShares MSCI Spain ETF is 18.5%, which is greater, thus better compared to the benchmark SPY (16.4%) in the same period.
• Looking at annual return (CAGR) in of 30.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (18.9%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of iShares MSCI Spain ETF is 20.5%, which is larger, thus worse compared to the benchmark SPY (17.5%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 19.9% is greater, thus worse.

DownVol:

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

• The downside volatility over 5 years of iShares MSCI Spain ETF is 14%, which is higher, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside deviation of 13.3% is higher, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.78 in the last 5 years of iShares MSCI Spain ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
• Looking at risk / return profile (Sharpe) in of 1.4 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.94).

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 (1.15) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.15 of iShares MSCI Spain ETF is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 2.09 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.42).

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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 10 of iShares MSCI Spain ETF is higher, thus worse.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 5.09 is lower, thus better.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -33.9 days of iShares MSCI Spain ETF is lower, thus worse.
• Looking at maximum drop from peak to valley in of -18.5 days in the period of the last 3 years, we see it is relatively higher, thus better 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 464 days of iShares MSCI Spain ETF is lower, thus better.
• Looking at maximum days below previous high in of 93 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (199 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.'

• The average days below previous high over 5 years of iShares MSCI Spain ETF is 110 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 24 days, which is lower, thus better than the value of 47 days from the benchmark.