Description

iShares Trust iShares MSCI Ireland ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Compared with the benchmark SPY (84.3%) in the period of the last 5 years, the total return, or performance of 6.7% of iShares MSCI Ireland ETF is lower, thus worse.
  • During the last 3 years, the total return, or performance is -9.1%, which is lower, thus worse than the value of 37.3% 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.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Ireland ETF is 1.3%, which is lower, thus worse compared to the benchmark SPY (13%) in the same period.
  • Compared with SPY (11.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -3.1% is smaller, thus worse.

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.'

Which means for our asset as example:
  • Looking at the volatility of 21.9% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.8%)
  • Compared with SPY (22.3%) in the period of the last 3 years, the 30 days standard deviation of 24.4% is larger, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside volatility of 17% of iShares MSCI Ireland ETF is larger, thus worse.
  • During the last 3 years, the downside deviation is 18.8%, which is higher, thus worse than the value of 16.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Sharpe Ratio over 5 years of iShares MSCI Ireland ETF is -0.05, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
  • During the last 3 years, the Sharpe Ratio is -0.23, which is lower, thus worse than the value of 0.39 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.77) in the period of the last 5 years, the excess return divided by the downside deviation of -0.07 of iShares MSCI Ireland ETF is lower, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is -0.3, which is smaller, thus worse than the value of 0.52 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (5.78 ) in the period of the last 5 years, the Ulcer Index of 13 of iShares MSCI Ireland ETF is higher, thus worse.
  • During the last 3 years, the Downside risk index is 15 , which is greater, thus worse than the value of 7.08 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:
  • The maximum drop from peak to valley over 5 years of iShares MSCI Ireland ETF is -46.5 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -46.5 days, which is lower, thus worse than the value of -33.7 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.'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of iShares MSCI Ireland ETF is 672 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum days under water in of 672 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of iShares MSCI Ireland ETF is 234 days, which is larger, thus worse compared to the benchmark SPY (37 days) in the same period.
  • Looking at average time in days below previous high water mark in of 309 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Ireland ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.