iShares MSCI France Index Fund (EWQ)

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 (81%) in the period of the last 5 years, the total return, or performance of 44.1% of iShares MSCI France Index Fund is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 32.5%, which is lower, thus worse than the value of 75.7% from the benchmark.

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 (12.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.6% of iShares MSCI France Index Fund is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 9.9%, which is lower, thus worse than the value of 20.8% 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.'

• The volatility over 5 years of iShares MSCI France Index Fund is 19.4%, which is greater, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at volatility in of 16.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15%).

DownVol:

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

• Looking at the downside volatility of 13.3% in the last 5 years of iShares MSCI France Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 11.5% is larger, 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.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.26 of iShares MSCI France Index Fund is lower, thus worse.
• Compared with SPY (1.22) in the period of the last 3 years, the Sharpe Ratio of 0.44 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the excess return divided by the downside deviation of 0.38 of iShares MSCI France Index Fund is lower, thus worse.
• Compared with SPY (1.82) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.64 is lower, thus worse.

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.'

• The Downside risk index over 5 years of iShares MSCI France Index Fund is 9.37 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Downside risk index in of 5.74 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.4 ).

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 -31.5 days in the last 5 years of iShares MSCI France Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -15.2 days, which is greater, thus better 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 time in days below previous high water mark of 311 days in the last 5 years of iShares MSCI France Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 199 days, which is higher, thus worse than the value of 87 days from the benchmark.

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 time in days below previous high water mark of 73 days in the last 5 years of iShares MSCI France Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 48 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (19 days).