iShares MSCI Qatar ETF (QAT)

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 (57.1%) in the period of the last 5 years, the total return, or increase in value of 17.9% of iShares MSCI Qatar ETF is lower, thus worse.
• Compared with SPY (32%) in the period of the last 3 years, the total return, or performance of 9.2% is lower, thus worse.

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 performance (CAGR) of 3.3% in the last 5 years of iShares MSCI Qatar ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.5%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 3%, which is lower, thus worse than the value of 9.7% from the benchmark.

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 30 days standard deviation of 18.6% in the last 5 years of iShares MSCI Qatar ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.5%)
• Looking at volatility in of 15.9% in the period of the last 3 years, we see it is relatively smaller, thus better 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 risk of 13.5% in the last 5 years of iShares MSCI Qatar ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
• Looking at downside volatility in of 11.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.5%).

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 risk / return profile (Sharpe) of 0.05 in the last 5 years of iShares MSCI Qatar ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.32)
• Looking at Sharpe Ratio in of 0.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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.'

• Looking at the downside risk / excess return profile of 0.06 in the last 5 years of iShares MSCI Qatar ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.45)
• Looking at ratio of annual return and downside deviation in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.58).

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.'

• The Downside risk index over 5 years of iShares MSCI Qatar ETF is 13 , which is greater, thus worse compared to the benchmark SPY (9.57 ) in the same period.
• During the last 3 years, the Downside risk index is 14 , which is larger, thus worse than the value of 10 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.'

• Looking at the maximum reduction from previous high of -29.6 days in the last 5 years of iShares MSCI Qatar ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -29.4 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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.'

• Compared with the benchmark SPY (439 days) in the period of the last 5 years, the maximum days under water of 474 days of iShares MSCI Qatar ETF is greater, thus worse.
• Looking at maximum days below previous high in of 371 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (439 days).

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.'

• The average days under water over 5 years of iShares MSCI Qatar ETF is 159 days, which is higher, thus worse compared to the benchmark SPY (106 days) in the same period.
• During the last 3 years, the average days under water is 109 days, which is lower, thus better than the value of 149 days from the benchmark.