iShares MSCI Brazil ETF (EWZ)

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 (97.2%) in the period of the last 5 years, the total return, or increase in value of 33.5% of iShares MSCI Brazil ETF is lower, thus worse.
• Looking at total return in of 35.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (80.6%).

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 performance (CAGR) of 6% in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (21.8%) in the period of the last 3 years, the annual return (CAGR) of 10.8% is lower, thus worse.

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 30 days standard deviation of 27.8% in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the historical 30 days volatility is 23.4%, which is higher, thus worse than the value of 15.2% from the benchmark.

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 Brazil ETF is 20%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside risk in of 16.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.2%).

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.'

• Compared with the benchmark SPY (0.71) in the period of the last 5 years, the Sharpe Ratio of 0.12 of iShares MSCI Brazil ETF is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.35 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).

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 excess return divided by the downside deviation of 0.17 in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.03)
• Looking at excess return divided by the downside deviation in of 0.5 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.9).

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 (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 16 of iShares MSCI Brazil ETF is larger, thus worse.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Ulcer Ratio of 13 is greater, 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.'

• The maximum DrawDown over 5 years of iShares MSCI Brazil ETF is -32.2 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -31.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Looking at the maximum days below previous high of 465 days in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 465 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 177 days of iShares MSCI Brazil ETF is larger, thus worse.
• During the last 3 years, the average days below previous high is 162 days, which is greater, thus worse than the value of 21 days from the benchmark.