iShares MSCI United Kingdom ETF (EWU)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (96.4%) in the period of the last 5 years, the total return, or increase in value of 19.6% of iShares MSCI United Kingdom ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is 14.7%, which is lower, thus worse than the value of 28.9% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of iShares MSCI United Kingdom ETF is 3.6%, which is smaller, thus worse compared to the benchmark SPY (14.5%) in the same period.
• Looking at annual performance (CAGR) in of 4.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.9%).

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.'

• Looking at the 30 days standard deviation of 21.9% in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the historical 30 days volatility is 16.9%, which is lower, thus better than the value of 17.5% from the benchmark.

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 16.2% of iShares MSCI United Kingdom ETF is higher, thus worse.
• During the last 3 years, the downside volatility is 11.9%, which is lower, thus better than the value of 12.3% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI United Kingdom ETF is 0.05, which is smaller, thus worse compared to the benchmark SPY (0.57) in the same period.
• Compared with SPY (0.36) in the period of the last 3 years, the Sharpe Ratio of 0.13 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.'

• Looking at the excess return divided by the downside deviation of 0.07 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 (0.8)
• Looking at ratio of annual return and downside deviation in of 0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.52).

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 (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 11 of iShares MSCI United Kingdom ETF is greater, thus worse.
• Looking at Downside risk index in of 7.34 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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 DrawDown over 5 years of iShares MSCI United Kingdom ETF is -42.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -24.9 days, which is lower, thus worse than the value of -24.5 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 337 days of iShares MSCI United Kingdom ETF is lower, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 293 days is smaller, thus better.

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 days below previous high of 98 days in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
• Compared with SPY (177 days) in the period of the last 3 years, the average days below previous high of 79 days is lower, thus better.