iShares MSCI South Africa Index Fund (EZA)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 82.7% in the last 5 years of iShares MSCI South Africa Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (87.8%)
• Looking at total return, or performance in of 97.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (72.9%).

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.'

• Looking at the annual return (CAGR) of 12.8% 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 (13.5%)
• Looking at annual performance (CAGR) in of 25.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (20.1%).

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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the volatility of 28% of iShares MSCI South Africa Index Fund is higher, thus worse.
• Compared with SPY (15.1%) in the period of the last 3 years, the 30 days standard deviation of 26.5% is greater, 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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside deviation of 19.3% of iShares MSCI South Africa Index Fund is larger, thus worse.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside risk of 18.2% 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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of iShares MSCI South Africa Index Fund is lower, thus worse.
• Compared with SPY (1.17) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.87 is smaller, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI South Africa Index Fund is 0.54, which is lower, thus worse compared to the benchmark SPY (0.94) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.27, which is lower, thus worse than the value of 1.74 from the benchmark.

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 Index over 5 years of iShares MSCI South Africa Index Fund is 17 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.4 ) in the period of the last 3 years, the Ulcer Index of 8.03 is greater, 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.'

• The maximum drop from peak to valley over 5 years of iShares MSCI South Africa Index Fund is -34.9 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -19.7 days, which is lower, thus worse than the value of -18.8 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.'

• Looking at the maximum days under water of 770 days in the last 5 years of iShares MSCI South Africa Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 223 days, which is higher, thus worse than the value of 87 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI South Africa Index Fund is 271 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (19 days) in the period of the last 3 years, the average days under water of 59 days is higher, thus worse.