iShares MSCI Frontier 100 Fund (FM)

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.'

• Looking at the total return of 4.8% in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.8%)
• Looking at total return in of -13% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (75%).

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 (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 1% of iShares MSCI Frontier 100 Fund is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of -4.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.6%).

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.'

• The volatility over 5 years of iShares MSCI Frontier 100 Fund is 16.8%, which is lower, thus better compared to the benchmark SPY (17.3%) in the same period.
• Looking at historical 30 days volatility in of 12.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.4%).

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 deviation of 13.2% 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 (12%)
• Looking at downside risk in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.4%).

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.'

• The Sharpe Ratio over 5 years of iShares MSCI Frontier 100 Fund is -0.09, which is smaller, thus worse compared to the benchmark SPY (0.49) in the same period.
• Compared with SPY (1.17) in the period of the last 3 years, the Sharpe Ratio of -0.58 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of -0.12 in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.7)
• Looking at downside risk / excess return profile in of -0.77 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.73).

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.'

• Looking at the Ulcer Ratio of 19 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 (8.45 )
• Compared with SPY (3.21 ) in the period of the last 3 years, the Ulcer Ratio of 20 is larger, thus worse.

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 DrawDown of -37.1 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -32.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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 (488 days) in the period of the last 5 years, the maximum days below previous high of 792 days of iShares MSCI Frontier 100 Fund is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 750 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.'

• Compared with the benchmark SPY (117 days) in the period of the last 5 years, the average time in days below previous high water mark of 301 days of iShares MSCI Frontier 100 Fund is higher, thus worse.
• During the last 3 years, the average days under water is 376 days, which is larger, thus worse than the value of 17 days from the benchmark.