iShares MSCI Frontier 100 Fund (FM)

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.'

• Compared with the benchmark SPY (58.9%) in the period of the last 5 years, the total return, or performance of -13.2% of iShares MSCI Frontier 100 Fund is lower, thus worse.
• Compared with SPY (33.9%) in the period of the last 3 years, the total return, or performance of -6.6% is smaller, thus worse.

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 (9.7%) in the period of the last 5 years, the annual return (CAGR) of -2.8% of iShares MSCI Frontier 100 Fund is lower, thus worse.
• Compared with SPY (10.2%) in the period of the last 3 years, the annual return (CAGR) of -2.2% is smaller, thus worse.

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 (21.6%) in the period of the last 5 years, the volatility of 17.6% of iShares MSCI Frontier 100 Fund is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 20%, which is smaller, thus better than the value of 25% from the benchmark.

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.'

• The downside risk over 5 years of iShares MSCI Frontier 100 Fund is 13.9%, which is lower, thus better compared to the benchmark SPY (15.7%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 16% is lower, thus better.

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 (0.33) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.3 of iShares MSCI Frontier 100 Fund is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.24, which is smaller, thus worse than the value of 0.31 from the benchmark.

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 (0.46) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.38 of iShares MSCI Frontier 100 Fund is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.3, which is lower, thus worse than the value of 0.43 from the benchmark.

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 Index over 5 years of iShares MSCI Frontier 100 Fund is 17 , which is greater, thus worse compared to the benchmark SPY (8.91 ) in the same period.
• Looking at Downside risk index in of 17 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11 ).

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 -40.6 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -35.8 days is smaller, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 806 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (271 days)
• Compared with SPY (271 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 309 days is higher, thus worse.

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.'

• Looking at the average days under water of 307 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (60 days)
• Looking at average time in days below previous high water mark in of 112 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (72 days).