iShares MSCI Mexico ETF (EWW)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 23.4% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (58.9%)
• Looking at total return, or performance in of 38.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (33.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 4.3% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.7%)
• Compared with SPY (10.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.4% is higher, thus better.

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 (21.6%) in the period of the last 5 years, the 30 days standard deviation of 27.6% of iShares MSCI Mexico ETF is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 30.6%, which is greater, thus worse than the value of 25% 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 (15.7%) in the period of the last 5 years, the downside volatility of 20.4% of iShares MSCI Mexico ETF is larger, thus worse.
• During the last 3 years, the downside volatility is 22.6%, which is larger, thus worse than the value of 18.1% 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 (0.33) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.07 of iShares MSCI Mexico ETF is smaller, thus worse.
• Compared with SPY (0.31) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.29 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (0.46) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.09 of iShares MSCI Mexico ETF is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.39, which is lower, thus worse than the value of 0.43 from the benchmark.

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.'

• The Ulcer Index over 5 years of iShares MSCI Mexico ETF is 18 , which is larger, thus worse compared to the benchmark SPY (8.91 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 18 , which is higher, thus worse than the value of 11 from the benchmark.

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 DrawDown of -51.2 days in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -47.5 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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.'

• Looking at the maximum days under water of 848 days in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (271 days)
• Looking at maximum time in days below previous high water mark in of 300 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (271 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.'

• Looking at the average days under water of 312 days in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (60 days)
• Compared with SPY (72 days) in the period of the last 3 years, the average time in days below previous high water mark of 96 days is larger, thus worse.