iShares MSCI Thailand ETF (THD)

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.'

• Looking at the total return of -13.6% in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.7%)
• During the last 3 years, the total return is -19.1%, which is smaller, thus worse than the value of 34.7% 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 compounded annual growth rate (CAGR) of -2.9% in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.2%)
• Looking at annual return (CAGR) in of -6.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.5%).

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 23.5% in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
• Compared with SPY (24.1%) in the period of the last 3 years, the 30 days standard deviation of 27.5% is greater, thus worse.

DownVol:

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

• Looking at the downside risk of 17.6% in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• Looking at downside deviation in of 20.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

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 (0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.23 of iShares MSCI Thailand ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.34 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.33).

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 (0.51) in the period of the last 5 years, the excess return divided by the downside deviation of -0.31 of iShares MSCI Thailand ETF is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.45, which is lower, thus worse than the value of 0.45 from the benchmark.

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 MSCI Thailand ETF is 18 , which is larger, thus worse compared to the benchmark SPY (7.71 ) in the same period.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Downside risk index of 16 is greater, thus worse.

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 DrawDown of -49.3 days in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -45.1 days is smaller, 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 (189 days) in the period of the last 5 years, the maximum days under water of 1160 days of iShares MSCI Thailand ETF is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 730 days, which is greater, thus worse than the value of 189 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 (46 days) in the period of the last 5 years, the average days below previous high of 549 days of iShares MSCI Thailand ETF is larger, thus worse.
• Looking at average days below previous high in of 356 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).