iShares MSCI Turkey ETF (TUR)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 56.1% in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (106.2%)
• During the last 3 years, the total return is 69.9%, which is greater, thus better than the value of 69.9% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual performance (CAGR) over 5 years of iShares MSCI Turkey ETF is 9.3%, which is lower, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Compared with SPY (19.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 19.5% is larger, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the volatility of 35.9% of iShares MSCI Turkey ETF is larger, thus worse.
• During the last 3 years, the volatility is 33.2%, which is larger, thus worse than the value of 17.7% 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 24.9% in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.2%)
• Looking at downside risk in of 22.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.6%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.19 in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.74)
• During the last 3 years, the risk / return profile (Sharpe) is 0.51, which is smaller, 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 (1.08) in the period of the last 5 years, the downside risk / excess return profile of 0.27 of iShares MSCI Turkey ETF is lower, thus worse.
• Compared with SPY (1.46) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.74 is smaller, thus worse.

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.'

• Looking at the Ulcer Ratio of 19 in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Downside risk index is 14 , which is greater, thus worse than the value of 5.32 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of iShares MSCI Turkey ETF is -40.6 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -31.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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 (488 days) in the period of the last 5 years, the maximum days under water of 431 days of iShares MSCI Turkey ETF is smaller, thus better.
• Looking at maximum days under water in of 227 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 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 days below previous high of 124 days in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days under water is 71 days, which is higher, thus worse than the value of 46 days from the benchmark.