Description of iShares MSCI Ireland ETF

iShares Trust iShares MSCI Ireland ETF

Statistics of iShares MSCI Ireland ETF (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:
  • Looking at the total return of 27.5% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.2%)
  • Compared with SPY (47.5%) in the period of the last 3 years, the total return of 13.1% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual performance (CAGR) of 5% of iShares MSCI Ireland ETF is smaller, thus worse.
  • Compared with SPY (13.9%) in the period of the last 3 years, the annual return (CAGR) of 4.2% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of iShares MSCI Ireland ETF is 16.8%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • Compared with SPY (12.5%) in the period of the last 3 years, the historical 30 days volatility of 17% is higher, 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.'

Which means for our asset as example:
  • Looking at the downside deviation of 18.7% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
  • Compared with SPY (14.2%) in the period of the last 3 years, the downside deviation of 19.9% is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of 0.15 of iShares MSCI Ireland ETF is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.1, which is lower, thus worse than the value of 0.91 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.13 of iShares MSCI Ireland ETF is smaller, thus worse.
  • Compared with SPY (0.8) in the period of the last 3 years, the excess return divided by the downside deviation of 0.09 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Ulcer Ratio of 8.74 of iShares MSCI Ireland ETF is higher, thus better.
  • During the last 3 years, the Ulcer Index is 9.67 , which is greater, thus better than the value of 4.01 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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of iShares MSCI Ireland ETF is -26.8 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -26.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 331 days in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum time in days below previous high water mark in of 331 days in the period of the last 3 years, we see it is relatively higher, 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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of iShares MSCI Ireland ETF is 111 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Looking at average time in days below previous high water mark in of 115 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance of iShares MSCI Ireland ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Ireland ETF
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Allocations

Returns of iShares MSCI Ireland ETF (%)

  • "Year" returns in the table above are not equal to 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.