iShares MSCI South Africa Index Fund (EZA)

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 increase in value over 5 years of iShares MSCI South Africa Index Fund is 71.5%, which is lower, thus worse compared to the benchmark SPY (81.2%) in the same period.
• During the last 3 years, the total return, or increase in value is 93.8%, which is larger, thus better than the value of 77.5% from the benchmark.

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 compounded annual growth rate (CAGR) over 5 years of iShares MSCI South Africa Index Fund is 11.4%, which is smaller, thus worse compared to the benchmark SPY (12.7%) in the same period.
• Compared with SPY (21.2%) in the period of the last 3 years, the annual return (CAGR) of 24.9% is larger, thus better.

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 historical 30 days volatility over 5 years of iShares MSCI South Africa Index Fund is 28.5%, which is higher, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 27.5% is greater, thus worse.

DownVol:

'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 19.6% 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 (11.8%)
• During the last 3 years, the downside deviation is 18.8%, which is greater, thus worse than the value of 10.2% 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.'

• Looking at the Sharpe Ratio of 0.31 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 (0.6)
• Compared with SPY (1.23) in the period of the last 3 years, the Sharpe Ratio of 0.81 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 (0.86) in the period of the last 5 years, the downside risk / excess return profile of 0.46 of iShares MSCI South Africa Index Fund is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of 1.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.84).

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 Downside risk index over 5 years of iShares MSCI South Africa Index Fund is 18 , which is greater, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Ulcer Ratio of 8.58 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.'

• Looking at the maximum DrawDown of -34.9 days 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 (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -23.3 days, which is smaller, 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 time in days below previous high water mark 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)
• Looking at maximum days under water in of 223 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 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 270 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 58 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).