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 (129.1%) in the period of the last 5 years, the total return, or increase in value of 34.5% of iShares MSCI United Kingdom ETF is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 16.3%, which is lower, thus worse than the value of 71.3% 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.'

• Compared with the benchmark SPY (18.1%) in the period of the last 5 years, the annual performance (CAGR) of 6.1% of iShares MSCI United Kingdom ETF is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is 5.2%, which is lower, thus worse than the value of 19.7% 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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 19.8% of iShares MSCI United Kingdom ETF is higher, thus worse.
• Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 24% is higher, thus worse.

DownVol:

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

• The downside risk over 5 years of iShares MSCI United Kingdom ETF is 14.9%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (16.3%) in the period of the last 3 years, the downside risk of 18% is higher, 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.'

• Looking at the Sharpe Ratio of 0.18 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 (0.83)
• Compared with SPY (0.76) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.11 is lower, 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.'

• Compared with the benchmark SPY (1.15) in the period of the last 5 years, the downside risk / excess return profile of 0.24 of iShares MSCI United Kingdom ETF is smaller, thus worse.
• Looking at downside risk / excess return profile in of 0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.05).

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 Downside risk index of 12 in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.59 )
• Compared with SPY (6.38 ) in the period of the last 3 years, the Downside risk index of 13 is higher, thus worse.

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.'

• Looking at the maximum reduction from previous high 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 DrawDown in of -42.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

• The maximum days below previous high over 5 years of iShares MSCI United Kingdom ETF is 824 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 348 days is greater, thus worse.

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 United Kingdom ETF is 293 days, which is larger, thus worse compared to the benchmark SPY (32 days) in the same period.
• Looking at average days below previous high in of 109 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (25 days).