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.'

• Compared with the benchmark SPY (67.1%) in the period of the last 5 years, the total return of 12.5% of iShares MSCI United Kingdom ETF is lower, thus worse.
• Compared with SPY (61.5%) in the period of the last 3 years, the total return of 50.6% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual performance (CAGR) of 2.4% of iShares MSCI United Kingdom ETF is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 14.6%, which is smaller, thus worse than the value of 17.3% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 22% of iShares MSCI United Kingdom ETF is higher, thus worse.
• Looking at volatility in of 21% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20%).

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.'

• Looking at the downside deviation of 16.3% in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.4%)
• Looking at downside risk in of 14.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.9%).

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 -0.01 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 (0.39)
• During the last 3 years, the Sharpe Ratio is 0.58, which is smaller, thus worse than the value of 0.74 from the benchmark.

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 -0.01 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 (0.54)
• Looking at ratio of annual return and downside deviation in of 0.82 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.06).

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 (9.21 ) in the period of the last 5 years, the Downside risk index of 12 of iShares MSCI United Kingdom ETF is greater, thus worse.
• Looking at Ulcer Index in of 7.41 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.87 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -42.5 days of iShares MSCI United Kingdom ETF is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -24.9 days is lower, thus worse.

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.'

• The maximum time in days below previous high water mark over 5 years of iShares MSCI United Kingdom ETF is 394 days, which is higher, thus worse compared to the benchmark SPY (311 days) in the same period.
• During the last 3 years, the maximum days below previous high is 285 days, which is lower, thus better than the value of 311 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.'

• Compared with the benchmark SPY (66 days) in the period of the last 5 years, the average days below previous high of 151 days of iShares MSCI United Kingdom ETF is larger, thus worse.
• Compared with SPY (82 days) in the period of the last 3 years, the average days below previous high of 75 days is smaller, thus better.