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 123.5% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (107.8%)
• Compared with SPY (43.5%) in the period of the last 3 years, the total return, or performance of 6.6% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (15.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 17.5% of iShares MSCI UAE ETF is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 2.1%, which is lower, thus worse than the value of 12.9% from the benchmark.

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 17.8% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.9%)
• Looking at 30 days standard deviation in of 18% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.4%).

DownVol:

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

• Looking at the downside volatility of 11.8% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (12.5%)
• Compared with SPY (12.6%) in the period of the last 3 years, the downside volatility of 12.8% is higher, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI UAE ETF is 0.84, which is larger, thus better compared to the benchmark SPY (0.74) in the same period.
• Looking at Sharpe Ratio in of -0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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.'

• Looking at the downside risk / excess return profile of 1.27 in the last 5 years of iShares MSCI UAE ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.07)
• During the last 3 years, the excess return divided by the downside deviation is -0.03, which is smaller, thus worse than the value of 0.82 from the benchmark.

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 14 in the last 5 years of iShares MSCI UAE ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.54 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.5 days of iShares MSCI UAE ETF is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -25.2 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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) in days.'

• The maximum days under water over 5 years of iShares MSCI UAE ETF is 715 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 677 days, which is larger, thus worse than the value of 199 days from the benchmark.

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 228 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 (119 days)
• During the last 3 years, the average time in days below previous high water mark is 311 days, which is larger, thus worse than the value of 44 days from the benchmark.