iShares MSCI United Kingdom ETF (EWU)

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.'

• The total return, or increase in value over 5 years of iShares MSCI United Kingdom ETF is -19.7%, which is smaller, thus worse compared to the benchmark SPY (46.1%) in the same period.
• During the last 3 years, the total return, or increase in value is -15%, which is smaller, thus worse than the value of 23.5% 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.'

• Looking at the compounded annual growth rate (CAGR) of -4.3% in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (7.9%)
• Compared with SPY (7.3%) in the period of the last 3 years, the annual performance (CAGR) of -5.3% is lower, thus worse.

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 (18.3%) in the period of the last 5 years, the volatility of 20.4% of iShares MSCI United Kingdom ETF is larger, thus worse.
• Compared with SPY (20.8%) in the period of the last 3 years, the 30 days standard deviation of 20.7% is lower, thus better.

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 United Kingdom ETF is 15.7%, which is higher, thus worse compared to the benchmark SPY (13.4%) in the same period.
• During the last 3 years, the downside risk is 16.1%, which is larger, thus worse than the value of 15.4% 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 risk / return profile (Sharpe) of -0.33 in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.29)
• Looking at ratio of return and volatility (Sharpe) in of -0.38 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.23).

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 (0.4) in the period of the last 5 years, the downside risk / excess return profile of -0.43 of iShares MSCI United Kingdom ETF is smaller, thus worse.
• Compared with SPY (0.31) in the period of the last 3 years, the downside risk / excess return profile of -0.48 is smaller, 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.'

• Compared with the benchmark SPY (5.27 ) in the period of the last 5 years, the Downside risk index of 13 of iShares MSCI United Kingdom ETF is larger, thus worse.
• During the last 3 years, the Downside risk index is 10 , which is higher, thus worse than the value of 6.08 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -43.3 days in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -43.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 660 days of iShares MSCI United Kingdom ETF is larger, thus worse.
• Looking at maximum time in days below previous high water mark in of 553 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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 days below previous high over 5 years of iShares MSCI United Kingdom ETF is 301 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 220 days is larger, thus worse.