iShares MSCI Turkey ETF (TUR)

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.'

• Compared with the benchmark SPY (67.1%) in the period of the last 5 years, the total return, or increase in value of -42.8% of iShares MSCI Turkey ETF is lower, thus worse.
• Looking at total return in of -17% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (51.3%).

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 Turkey ETF is -10.6%, which is lower, thus worse compared to the benchmark SPY (10.8%) in the same period.
• Looking at annual performance (CAGR) in of -6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.8%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the 30 days standard deviation of 33.3% in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
• During the last 3 years, the 30 days standard deviation is 34.1%, which is larger, thus worse than the value of 12.8% from the benchmark.

DownVol:

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

• Looking at the downside deviation of 34.4% in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.8%)
• Looking at downside volatility in of 35.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.7%).

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 (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.39 of iShares MSCI Turkey ETF is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.25, which is lower, thus worse than the value of 0.96 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 (0.56) in the period of the last 5 years, the downside risk / excess return profile of -0.38 of iShares MSCI Turkey ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.24, which is lower, thus worse than the value of 0.84 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.'

• Looking at the Ulcer Index of 37 in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.99 )
• Compared with SPY (4.1 ) in the period of the last 3 years, the Downside risk index of 32 is larger, thus worse.

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 (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -64 days of iShares MSCI Turkey ETF is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -58.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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). 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'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 1211 days of iShares MSCI Turkey ETF is greater, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 552 days is greater, 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.'

• The average days below previous high over 5 years of iShares MSCI Turkey ETF is 588 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
• Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 218 days is larger, thus worse.