iShares MSCI Frontier 100 Fund (FM)

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 over 5 years of iShares MSCI Frontier 100 Fund is 4.8%, which is lower, thus worse compared to the benchmark SPY (104.2%) in the same period.
• Compared with SPY (62.9%) in the period of the last 3 years, the total return, or increase in value of -13% is smaller, thus worse.

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 return (CAGR) over 5 years of iShares MSCI Frontier 100 Fund is 1%, which is smaller, thus worse compared to the benchmark SPY (15.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is -4.5%, which is smaller, thus worse than the value of 17.7% from the benchmark.

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 historical 30 days volatility over 5 years of iShares MSCI Frontier 100 Fund is 16.8%, which is lower, thus better compared to the benchmark SPY (17.5%) in the same period.
• Compared with SPY (17.2%) in the period of the last 3 years, the historical 30 days volatility of 12.2% is lower, thus better.

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 deviation over 5 years of iShares MSCI Frontier 100 Fund is 13.2%, which is higher, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.4%) in the period of the last 3 years, the downside risk of 9.1% is smaller, thus better.

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 Frontier 100 Fund is -0.09, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at Sharpe Ratio in of -0.58 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.89).

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 ratio of annual return and downside deviation over 5 years of iShares MSCI Frontier 100 Fund is -0.12, which is lower, thus worse compared to the benchmark SPY (1.07) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.77, which is lower, thus worse than the value of 1.33 from the benchmark.

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 Frontier 100 Fund is 19 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 20 , which is greater, thus worse than the value of 4.62 from the benchmark.

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 reduction from previous high of -37.1 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 (-24.5 days)
• During the last 3 years, the maximum DrawDown is -32.5 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of iShares MSCI Frontier 100 Fund is 792 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (109 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 750 days is higher, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 301 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 (120 days)
• Compared with SPY (28 days) in the period of the last 3 years, the average days below previous high of 376 days is higher, thus worse.