iShares MSCI Spain ETF (EWP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or increase in value of 133.3% in the last 5 years of iShares MSCI Spain ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (75.9%)
• Compared with SPY (87.4%) in the period of the last 3 years, the total return of 132.1% 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.'

• Compared with the benchmark SPY (12%) in the period of the last 5 years, the annual return (CAGR) of 18.5% of iShares MSCI Spain ETF is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 32.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (23.4%).

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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the volatility of 20.3% of iShares MSCI Spain ETF is greater, thus worse.
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 18.8% is larger, thus worse.

DownVol:

'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 Spain ETF is 14%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside deviation is 12.8%, which is higher, thus worse than the value of 10.1% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.79 in the last 5 years of iShares MSCI Spain ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.55)
• Looking at risk / return profile (Sharpe) in of 1.6 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.37).

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.'

• Looking at the downside risk / excess return profile of 1.15 in the last 5 years of iShares MSCI Spain ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.8)
• Compared with SPY (2.07) in the period of the last 3 years, the downside risk / excess return profile of 2.36 is higher, thus better.

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 8.24 in the last 5 years of iShares MSCI Spain ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.45 )
• Compared with SPY (3.2 ) in the period of the last 3 years, the Ulcer Index of 3.94 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of iShares MSCI Spain ETF is -30.3 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -12.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 days).

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.'

• The maximum days under water over 5 years of iShares MSCI Spain ETF is 314 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 93 days, which is larger, thus worse than the value of 87 days from the benchmark.

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 59 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• Looking at average time in days below previous high water mark in of 18 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17 days).