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.'

• The total return, or performance over 5 years of iShares MSCI Frontier 100 Fund is 14.4%, which is lower, thus worse compared to the benchmark SPY (77.6%) in the same period.
• Looking at total return, or performance in of 18.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (53.5%).

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 Frontier 100 Fund is 2.7%, which is smaller, thus worse compared to the benchmark SPY (12.2%) in the same period.
• Compared with SPY (15.4%) in the period of the last 3 years, the annual return (CAGR) of 5.8% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The 30 days standard deviation over 5 years of iShares MSCI Frontier 100 Fund is 13.1%, which is lower, thus better compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the 30 days standard deviation is 12%, which is lower, thus better than the value of 13% 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.'

• Looking at the downside risk of 9.5% in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (9.6%)
• During the last 3 years, the downside risk is 8.8%, which is lower, thus better than the value of 9.4% from the benchmark.

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 (0.73) in the period of the last 5 years, the Sharpe Ratio of 0.02 of iShares MSCI Frontier 100 Fund is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.28 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.99).

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 (1.01) in the period of the last 5 years, the downside risk / excess return profile of 0.02 of iShares MSCI Frontier 100 Fund is lower, thus worse.
• Compared with SPY (1.37) in the period of the last 3 years, the downside risk / excess return profile of 0.38 is lower, thus worse.

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.'

• Looking at the Ulcer Ratio of 14 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 (3.97 )
• Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 13 is higher, 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 -28.9 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 (-19.3 days)
• Looking at maximum drop from peak to valley in of -25.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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.'

• Looking at the maximum time in days below previous high water mark of 580 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 (187 days)
• Looking at maximum days below previous high in of 520 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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 Frontier 100 Fund is 251 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• Looking at average days under water in of 197 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (37 days).