iShares MSCI UAE ETF (UAE)

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 52% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (94.2%)
• During the last 3 years, the total return, or performance is 14.1%, which is lower, thus worse than the value of 34.4% 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.'

• Looking at the compounded annual growth rate (CAGR) of 8.8% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (14.2%)
• During the last 3 years, the annual return (CAGR) is 4.5%, which is smaller, thus worse than the value of 10.4% from the benchmark.

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 (21%) in the period of the last 5 years, the 30 days standard deviation of 21% of iShares MSCI UAE ETF is greater, thus worse.
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 17.6% is greater, thus worse.

DownVol:

'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.'

• Looking at the downside deviation of 14.8% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside risk is 12.3%, which is larger, thus worse than the value of 12.3% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of iShares MSCI UAE ETF is 0.3, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
• Compared with SPY (0.45) 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 (0.78) in the period of the last 5 years, the downside risk / excess return profile of 0.42 of iShares MSCI UAE ETF is lower, thus worse.
• Looking at downside risk / excess return profile in of 0.16 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.64).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 16 of iShares MSCI UAE ETF is larger, thus worse.
• During the last 3 years, the Ulcer Index is 18 , which is greater, thus worse than the value of 8.87 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 -39.1 days in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -27.5 days, which is smaller, thus worse than the value of -22.4 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 700 days in the last 5 years of iShares MSCI UAE ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (375 days) in the period of the last 3 years, the maximum days under water of 700 days is higher, thus worse.

AveDuration:

'The Average 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. 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 234 days in the last 5 years of iShares MSCI UAE ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (122 days)
• Looking at average days under water in of 334 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (113 days).