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.'

• The total return, or performance over 5 years of iShares MSCI Brazil ETF is 42.2%, which is lower, thus worse compared to the benchmark SPY (77.6%) in the same period.
• Looking at total return, or increase in value in of 23.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (53.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of iShares MSCI Brazil ETF is 7.3%, which is lower, thus worse compared to the benchmark SPY (12.2%) in the same period.
• During the last 3 years, the annual return (CAGR) is 7.2%, which is lower, thus worse than the value of 15.4% 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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 33% of iShares MSCI Brazil ETF is larger, thus worse.
• During the last 3 years, the historical 30 days volatility is 30%, which is higher, thus worse than the value of 13% 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 23.5%, which is greater, thus worse compared to the benchmark SPY (9.6%) in the same period.
• During the last 3 years, the downside risk is 22.1%, which is higher, thus worse than the value of 9.4% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.15 in the last 5 years of iShares MSCI Brazil ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.73)
• Compared with SPY (0.99) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.16 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 (1.01) in the period of the last 5 years, the downside risk / excess return profile of 0.2 of iShares MSCI Brazil ETF is smaller, thus worse.
• Compared with SPY (1.37) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.21 is lower, thus worse.

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 Ratio over 5 years of iShares MSCI Brazil ETF is 18 , which is larger, thus worse compared to the benchmark SPY (3.97 ) in the same period.
• Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Index of 13 is larger, thus worse.

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 (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -52 days of iShares MSCI Brazil ETF is lower, thus worse.
• Looking at maximum drop from peak to valley in of -34 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

• The maximum days under water over 5 years of iShares MSCI Brazil ETF is 361 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days below previous high is 361 days, which is higher, thus worse than the value of 139 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI Brazil ETF is 121 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• Compared with SPY (37 days) in the period of the last 3 years, the average days below previous high of 109 days is greater, thus worse.