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 (85%) in the period of the last 5 years, the total return, or performance of 64.6% of iShares MSCI Brazil ETF is lower, thus worse.
• Compared with SPY (84.2%) in the period of the last 3 years, the total return, or increase in value of 70.6% is smaller, thus worse.

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 return (CAGR) over 5 years of iShares MSCI Brazil ETF is 10.5%, which is lower, thus worse compared to the benchmark SPY (13.1%) in the same period.
• Compared with SPY (22.7%) in the period of the last 3 years, the annual return (CAGR) of 19.6% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of iShares MSCI Brazil ETF is 27.7%, which is higher, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at 30 days standard deviation in of 23.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.2%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside risk over 5 years of iShares MSCI Brazil ETF is 19.6%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 16.5% is greater, thus worse.

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 (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.29 of iShares MSCI Brazil ETF is smaller, thus worse.
• Compared with SPY (1.34) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.72 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.'

• Looking at the downside risk / excess return profile of 0.41 in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.9)
• During the last 3 years, the excess return divided by the downside deviation is 1.04, which is lower, thus worse than the value of 2.01 from the benchmark.

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.'

• Looking at the Downside risk index of 16 in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.45 )
• During the last 3 years, the Ulcer Ratio is 13 , which is larger, thus worse than the value of 3.5 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -32.2 days of iShares MSCI Brazil ETF is smaller, thus worse.
• Looking at maximum reduction from previous high in of -31.4 days in the period of the last 3 years, we see it is relatively smaller, 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.'

• The maximum days under water over 5 years of iShares MSCI Brazil ETF is 465 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 465 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 days).

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 178 days of iShares MSCI Brazil ETF is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 162 days, which is greater, thus worse than the value of 20 days from the benchmark.