iShares MSCI Colombia ETF (ICOL)

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.'

• Compared with the benchmark SPY (60.6%) in the period of the last 5 years, the total return, or increase in value of -29.3% of iShares MSCI Colombia ETF is lower, thus worse.
• Compared with SPY (38%) in the period of the last 3 years, the total return, or performance of -19.7% is smaller, thus worse.

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 annual performance (CAGR) over 5 years of iShares MSCI Colombia ETF is -6.7%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
• Compared with SPY (11.3%) in the period of the last 3 years, the annual performance (CAGR) of -7.1% is lower, 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 (21.5%) in the period of the last 5 years, the historical 30 days volatility of 27.5% of iShares MSCI Colombia ETF is larger, thus worse.
• Looking at volatility in of 32.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.9%).

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 deviation of 20.9% in the last 5 years of iShares MSCI Colombia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.5%)
• Looking at downside deviation in of 24.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of -0.34 in the last 5 years of iShares MSCI Colombia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.35)
• During the last 3 years, the risk / return profile (Sharpe) is -0.3, which is smaller, thus worse than the value of 0.49 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 (0.48) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.44 of iShares MSCI Colombia ETF is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.39, which is lower, thus worse than the value of 0.71 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 (9.55 ) in the period of the last 5 years, the Ulcer Ratio of 28 of iShares MSCI Colombia ETF is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 27 is greater, 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.'

• The maximum DrawDown over 5 years of iShares MSCI Colombia ETF is -63.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -59.7 days is lower, thus worse.

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.'

• Compared with the benchmark SPY (431 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1095 days of iShares MSCI Colombia ETF is higher, thus worse.
• Compared with SPY (431 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 667 days is larger, 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 days below previous high of 488 days in the last 5 years of iShares MSCI Colombia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (105 days)
• During the last 3 years, the average time in days below previous high water mark is 305 days, which is higher, thus worse than the value of 144 days from the benchmark.