iShares MSCI Brazil ETF (EWZ)

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.'

• Looking at the total return, or performance of -10.6% in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.3%)
• Looking at total return, or performance in of -17.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.6%).

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 (10%) in the period of the last 5 years, the annual performance (CAGR) of -2.2% of iShares MSCI Brazil ETF is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is -6.4%, which is lower, thus worse than the value of 9.6% 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.'

• Looking at the 30 days standard deviation of 39.3% in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.8%)
• Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 44.2% is higher, thus worse.

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.'

• Looking at the downside volatility of 29% in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 33% 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 -0.12 in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the Sharpe Ratio of -0.2 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.'

• Looking at the excess return divided by the downside deviation of -0.16 in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• Compared with SPY (0.4) in the period of the last 3 years, the downside risk / excess return profile of -0.27 is smaller, thus worse.

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.'

• The Ulcer Index over 5 years of iShares MSCI Brazil ETF is 25 , which is greater, thus worse compared to the benchmark SPY (7.61 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 29 , which is higher, thus worse than the value of 8.93 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -57 days of iShares MSCI Brazil ETF is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -57 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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 (185 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 690 days of iShares MSCI Brazil ETF is greater, thus worse.
• Looking at maximum days below previous high in of 690 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (185 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 time in days below previous high water mark of 252 days in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (46 days)
• Looking at average days under water in of 322 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (44 days).