iShares MSCI Thailand ETF (THD)

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 7.9% in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (59.9%)
• Looking at total return, or increase in value in of -0.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (34.2%).

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 MSCI Thailand ETF is 1.5%, which is lower, thus worse compared to the benchmark SPY (9.8%) in the same period.
• Compared with SPY (10.3%) in the period of the last 3 years, the annual performance (CAGR) of -0.3% 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.'

• The volatility over 5 years of iShares MSCI Thailand ETF is 23.2%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at 30 days standard deviation in of 25.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21.5%).

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 (13.6%) in the period of the last 5 years, the downside risk of 17.3% of iShares MSCI Thailand ETF is larger, thus worse.
• Looking at downside risk in of 19.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.7%).

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 -0.04 in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
• Compared with SPY (0.36) in the period of the last 3 years, the Sharpe Ratio of -0.11 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.06 of iShares MSCI Thailand ETF is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.14, which is lower, thus worse than the value of 0.5 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 (5.81 ) in the period of the last 5 years, the Ulcer Index of 13 of iShares MSCI Thailand ETF is greater, thus worse.
• During the last 3 years, the Ulcer Index is 14 , which is higher, thus worse than the value of 6.86 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -49.3 days of iShares MSCI Thailand ETF is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -49.3 days is smaller, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 569 days in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 569 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 under water of 175 days in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (43 days)
• Compared with SPY (39 days) in the period of the last 3 years, the average time in days below previous high water mark of 233 days is greater, thus worse.