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.'

Which means for our asset as example:
  • The total return over 5 years of iShares MSCI Philippines ETF is 10.3%, which is lower, thus worse compared to the benchmark SPY (115.6%) in the same period.
  • During the last 3 years, the total return, or performance is -15%, which is lower, thus worse than the value of 43% 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:
  • Looking at the annual return (CAGR) of 2% in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.6%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is -5.3%, which is smaller, thus worse than the value of 12.6% from the benchmark.

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 Philippines ETF is 25.8%, which is higher, thus worse compared to the benchmark SPY (18.8%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 29.6%, which is greater, thus worse than the value of 22.8% from the benchmark.

DownVol:

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

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of iShares MSCI Philippines ETF is 19.3%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (16.7%) in the period of the last 3 years, the downside volatility of 22.8% 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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of iShares MSCI Philippines ETF is -0.02, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
  • During the last 3 years, the Sharpe Ratio is -0.26, which is smaller, thus worse than the value of 0.44 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of iShares MSCI Philippines ETF is -0.03, which is lower, thus worse compared to the benchmark SPY (1.04) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.34, which is lower, thus worse than the value of 0.61 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 Ratio of 18 in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.59 )
  • Compared with SPY (7.14 ) in the period of the last 3 years, the Ulcer Index of 22 is higher, thus worse.

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:
  • Looking at the maximum DrawDown of -51.6 days in the last 5 years of iShares MSCI Philippines 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 -51.3 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:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 762 days of iShares MSCI Philippines ETF is larger, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 748 days is greater, thus worse.

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 days below previous high over 5 years of iShares MSCI Philippines ETF is 292 days, which is greater, thus worse compared to the benchmark SPY (33 days) in the same period.
  • Looking at average time in days below previous high water mark in of 371 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 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.