iShares Latin America 40 ETF (ILF)

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.'

• The total return, or increase in value over 5 years of iShares Latin America 40 ETF is 0.9%, which is lower, thus worse compared to the benchmark SPY (74.4%) in the same period.
• During the last 3 years, the total return is -33.6%, which is smaller, thus worse than the value of 34.2% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of iShares Latin America 40 ETF is 0.2%, which is lower, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.3%) in the period of the last 3 years, the annual performance (CAGR) of -12.8% is smaller, thus worse.

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.'

• Looking at the volatility of 33.4% in the last 5 years of iShares Latin America 40 ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.9%)
• During the last 3 years, the volatility is 36.5%, which is higher, thus worse than the value of 22.6% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the downside deviation of 24.8% of iShares Latin America 40 ETF is higher, thus worse.
• Compared with SPY (16.7%) in the period of the last 3 years, the downside deviation of 27.7% is higher, thus worse.

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.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.07 of iShares Latin America 40 ETF is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is -0.42, which is smaller, thus worse than the value of 0.35 from the benchmark.

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.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.09 of iShares Latin America 40 ETF is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.47).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of iShares Latin America 40 ETF is 19 , which is higher, thus worse compared to the benchmark SPY (5.82 ) in the same period.
• During the last 3 years, the Ulcer Index is 24 , which is higher, thus worse than the value of 7.13 from the benchmark.

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -57.8 days of iShares Latin America 40 ETF is smaller, thus worse.
• Looking at maximum DrawDown in of -57.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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 below previous high over 5 years of iShares Latin America 40 ETF is 694 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 694 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 days under water of 214 days in the last 5 years of iShares Latin America 40 ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (37 days)
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 326 days is greater, thus worse.