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.'

• Looking at the total return, or increase in value of 0.9% 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 (109.8%)
• Looking at total return in of -15.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (42.5%).

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.'

• Compared with the benchmark SPY (16%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 0.2% of iShares MSCI Frontier 100 Fund is smaller, thus worse.
• Looking at annual return (CAGR) in of -5.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.6%).

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.'

• Compared with the benchmark SPY (17.9%) in the period of the last 5 years, the volatility of 16.8% of iShares MSCI Frontier 100 Fund is lower, thus better.
• Compared with SPY (18.4%) in the period of the last 3 years, the volatility of 12.3% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of iShares MSCI Frontier 100 Fund is 13.2%, which is larger, thus worse compared to the benchmark SPY (12.5%) in the same period.
• Looking at downside volatility in of 9.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.6%).

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 ratio of return and volatility (Sharpe) of -0.14 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 (0.75)
• Compared with SPY (0.55) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.65 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 (1.08) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.18 of iShares MSCI Frontier 100 Fund is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.86, which is lower, thus worse than the value of 0.8 from the benchmark.

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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 20 of iShares MSCI Frontier 100 Fund is larger, thus worse.
• Compared with SPY (5.54 ) in the period of the last 3 years, the Downside risk index of 22 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -37.2 days of iShares MSCI Frontier 100 Fund is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -33.5 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) in days.'

• Looking at the maximum days below previous high of 795 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 750 days, which is higher, thus worse than the value of 199 days from the benchmark.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 302 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 44 days from the benchmark.