iShares MSCI South Korea ETF (EWY)

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 (68.1%) in the period of the last 5 years, the total return, or performance of -8.1% of iShares MSCI South Korea ETF is lower, thus worse.
• During the last 3 years, the total return is 24%, which is lower, thus worse than the value of 47% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of iShares MSCI South Korea ETF is -1.7%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
• Looking at annual return (CAGR) in of 7.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.7%).

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.'

• Looking at the volatility of 27.4% in the last 5 years of iShares MSCI South Korea ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
• Compared with SPY (18.7%) in the period of the last 3 years, the volatility of 24.5% is higher, thus worse.

DownVol:

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

• Looking at the downside volatility of 19.8% in the last 5 years of iShares MSCI South Korea ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.4%)
• During the last 3 years, the downside volatility is 17%, which is higher, thus worse than the value of 13.3% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI South Korea ETF is -0.15, which is lower, thus worse compared to the benchmark SPY (0.4) in the same period.
• Compared with SPY (0.6) in the period of the last 3 years, the Sharpe Ratio of 0.2 is lower, 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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the excess return divided by the downside deviation of -0.21 of iShares MSCI South Korea ETF is smaller, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.29, which is lower, thus worse than the value of 0.84 from the benchmark.

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.'

• Compared with the benchmark SPY (9.45 ) in the period of the last 5 years, the Ulcer Ratio of 23 of iShares MSCI South Korea ETF is greater, thus worse.
• During the last 3 years, the Ulcer Ratio is 25 , which is greater, thus worse than the value of 10 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.'

• The maximum drop from peak to valley over 5 years of iShares MSCI South Korea ETF is -49.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -49.7 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.'

• Compared with the benchmark SPY (351 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 613 days of iShares MSCI South Korea ETF is greater, thus worse.
• Compared with SPY (351 days) in the period of the last 3 years, the maximum days under water of 599 days is larger, thus worse.

AveDuration:

'The Average 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. 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 South Korea ETF is 297 days, which is higher, thus worse compared to the benchmark SPY (78 days) in the same period.
• Looking at average days below previous high in of 253 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (101 days).