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.'

• Looking at the total return, or increase in value of 59.7% in the last 5 years of iShares MSCI France Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (86%)
• Looking at total return in of 37.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.8%).

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 annual performance (CAGR) of 9.8% in the last 5 years of iShares MSCI France Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.3%)
• Looking at annual performance (CAGR) in of 11.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.9%).

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%) in the period of the last 5 years, the 30 days standard deviation of 19.3% of iShares MSCI France Index Fund is higher, thus worse.
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 16.7% is larger, 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 France Index Fund is 13.2%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside risk is 11.5%, which is larger, thus worse than the value of 10.2% 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.'

• Compared with the benchmark SPY (0.63) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.38 of iShares MSCI France Index Fund is smaller, thus worse.
• Compared with SPY (1.14) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.53 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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI France Index Fund is 0.56, which is lower, thus worse compared to the benchmark SPY (0.92) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.77, which is smaller, thus worse than the value of 1.7 from the benchmark.

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 Ulcer Ratio of 9.33 in the last 5 years of iShares MSCI France Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.42 )
• Compared with SPY (3.48 ) in the period of the last 3 years, the Downside risk index of 5.68 is higher, thus worse.

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.'

• The maximum reduction from previous high over 5 years of iShares MSCI France Index Fund is -31.5 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -15.2 days in the period of the last 3 years, we see it is relatively greater, 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 under water of 311 days of iShares MSCI France Index Fund is lower, thus better.
• During the last 3 years, the maximum days below previous high is 199 days, which is greater, 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.'

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