iShares MSCI South Africa Index Fund (EZA)

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 (68.7%) in the period of the last 5 years, the total return, or performance of -11.7% of iShares MSCI South Africa Index Fund is lower, thus worse.
• Looking at total return, or performance in of 18.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.9%).

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 performance (CAGR) over 5 years of iShares MSCI South Africa Index Fund is -2.5%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14%).

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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 30.7% of iShares MSCI South Africa Index Fund is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 30.7%, which is higher, thus worse than the value of 12.5% from the benchmark.

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 risk of 31.5% in the last 5 years of iShares MSCI South Africa Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
• During the last 3 years, the downside risk is 32.5%, which is higher, thus worse than the value of 14.2% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of iShares MSCI South Africa Index Fund is -0.16, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• Compared with SPY (0.91) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.11 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 (0.58) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.16 of iShares MSCI South Africa Index Fund is lower, thus worse.
• Compared with SPY (0.81) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.11 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of iShares MSCI South Africa Index Fund is 20 , which is larger, thus better compared to the benchmark SPY (3.96 ) in the same period.
• Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Index of 17 is higher, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -45 days in the last 5 years of iShares MSCI South Africa Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
• During the last 3 years, the maximum DrawDown is -37 days, which is smaller, thus worse than the value of -19.3 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 (187 days) in the period of the last 5 years, the maximum days below previous high of 669 days of iShares MSCI South Africa Index Fund is larger, thus worse.
• Looking at maximum days under water in of 330 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI South Africa Index Fund is 237 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
• Looking at average time in days below previous high water mark in of 99 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).