Description

The investment seeks to track the investment results of the MSCI Philippines Investable Market Index (IMI). The fund generally will invest at least 90% of its assets in the component securities of the underlying index and in investments that have economic characteristics that are substantially identical to the component securities of the underlying index. The index is a free float-adjusted market capitalization-weighted index designed to measure the performance of the Philippine equity markets. The fund is non-diversified.

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of -24.9% in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.6%)
  • During the last 3 years, the total return is -19.5%, which is lower, thus worse than the value of 32.1% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of -5.6% of iShares MSCI Philippines ETF is lower, thus worse.
  • Looking at annual return (CAGR) in of -7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.7%).

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.'

Which means for our asset as example:
  • The volatility over 5 years of iShares MSCI Philippines ETF is 25.9%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
  • Looking at volatility in of 29.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24.8%).

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 risk of 19.7% in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.6%)
  • Compared with SPY (17.9%) in the period of the last 3 years, the downside risk of 23% 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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of -0.31 in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
  • Looking at Sharpe Ratio in of -0.32 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.29).

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of iShares MSCI Philippines ETF is -0.41, which is smaller, thus worse compared to the benchmark SPY (0.5) in the same period.
  • During the last 3 years, the downside risk / excess return profile is -0.41, which is smaller, thus worse than the value of 0.4 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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 24 in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.52 )
  • Looking at Downside risk index in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of iShares MSCI Philippines ETF is -51.6 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 -44.6 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of iShares MSCI Philippines ETF is 1240 days, which is larger, thus worse compared to the benchmark SPY (235 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 752 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (235 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:
  • Compared with the benchmark SPY (55 days) in the period of the last 5 years, the average days under water of 617 days of iShares MSCI Philippines ETF is greater, thus worse.
  • Looking at average days below previous high in of 376 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (59 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Philippines 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.