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.'

• Looking at the total return, or increase in value of 56.3% in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80%)
• During the last 3 years, the total return, or increase in value is 75.6%, which is larger, thus better than the value of 31.8% 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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Turkey ETF is 9.4%, which is lower, thus worse compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 20.7%, which is higher, thus better 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 volatility of 37.7% in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 40.3% is greater, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 26.3% of iShares MSCI Turkey ETF is larger, thus worse.
• Looking at downside risk in of 27.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.3%).

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.'

• Looking at the Sharpe Ratio of 0.18 in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.47)
• Looking at ratio of return and volatility (Sharpe) in of 0.45 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.41).

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.'

• Looking at the downside risk / excess return profile of 0.26 in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
• Compared with SPY (0.58) in the period of the last 3 years, the excess return divided by the downside deviation of 0.66 is larger, thus better.

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 Turkey ETF is 20 , which is higher, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• During the last 3 years, the Downside risk index is 20 , which is higher, thus worse than the value of 10 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -40.6 days in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.6 days is lower, 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'

• The maximum days below previous high over 5 years of iShares MSCI Turkey ETF is 431 days, which is lower, thus better compared to the benchmark SPY (480 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 431 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (480 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.'

• Looking at the average time in days below previous high water mark of 141 days in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 153 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (174 days).