iShares MSCI Saudi Arabia ETF (KSA)

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.'

• Looking at the total return, or increase in value of 89.1% in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (109.3%)
• During the last 3 years, the total return is -10.5%, which is lower, thus worse than the value of 34.3% 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.'

• Looking at the annual return (CAGR) of 13.6% in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16%)
• During the last 3 years, the annual return (CAGR) is -3.6%, which is lower, thus worse than the value of 10.4% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of iShares MSCI Saudi Arabia ETF is 16.1%, which is lower, thus better compared to the benchmark SPY (18%) in the same period.
• Looking at historical 30 days volatility in of 16.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.8%).

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 risk over 5 years of iShares MSCI Saudi Arabia ETF is 10.9%, which is lower, thus better compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the downside volatility is 11.6%, which is lower, thus better than the value of 13% 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 (0.75) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.69 of iShares MSCI Saudi Arabia ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.38 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.42).

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 downside risk / excess return profile over 5 years of iShares MSCI Saudi Arabia ETF is 1.02, which is lower, thus worse compared to the benchmark SPY (1.07) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.53, which is lower, thus worse than the value of 0.6 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.'

• Looking at the Downside risk index of 13 in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.45 )
• During the last 3 years, the Ulcer Ratio is 17 , which is greater, thus worse than the value of 5.75 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of iShares MSCI Saudi Arabia ETF is -28.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -28 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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 days under water of 758 days in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 750 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 255 days of iShares MSCI Saudi Arabia ETF is larger, thus worse.
• Looking at average days below previous high in of 375 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).