Description

The investment seeks to track the investment results of the MSCI Poland IMI 25/50 Index. The fund generally will invest at least 90% of its assets in the component securities of the index and in investments that have economic characteristics that are substantially identical to the component securities of the index and may invest up to 10% of its assets in certain futures, options and swap contracts, cash and cash equivalents. The index is a free float-adjusted market capitalization-weighted index designed to primarily measure the performance of equity securities listed on stock exchanges in Poland. 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 100.7% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (106.2%)
  • Looking at total return in of 127.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (69.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 15% of iShares MSCI Poland ETF is smaller, thus worse.
  • Looking at annual return (CAGR) in of 31.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.5%).

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of iShares MSCI Poland ETF is 29.6%, which is higher, thus worse compared to the benchmark SPY (17.6%) in the same period.
  • Compared with SPY (17.7%) in the period of the last 3 years, the 30 days standard deviation of 29.4% is larger, thus worse.

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:
  • Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside deviation of 20.2% of iShares MSCI Poland ETF is higher, thus worse.
  • During the last 3 years, the downside deviation is 19.2%, which is higher, thus worse than the value of 11.6% from the benchmark.

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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Poland ETF is 0.42, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
  • Compared with SPY (0.96) in the period of the last 3 years, the Sharpe Ratio of 1 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.08) in the period of the last 5 years, the excess return divided by the downside deviation of 0.62 of iShares MSCI Poland ETF is lower, thus worse.
  • Compared with SPY (1.46) in the period of the last 3 years, the downside risk / excess return profile of 1.52 is greater, thus better.

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:
  • The Downside risk index over 5 years of iShares MSCI Poland ETF is 20 , which is greater, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • During the last 3 years, the Ulcer Index is 8.81 , which is higher, thus worse than the value of 5.32 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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of iShares MSCI Poland ETF is -54.2 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -28.1 days, which is lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 542 days in the last 5 years of iShares MSCI Poland ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
  • Looking at maximum time in days below previous high water mark in of 181 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (199 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 (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 147 days of iShares MSCI Poland ETF is larger, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 39 days, which is lower, thus better than the value of 46 days from the benchmark.

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 Poland ETF are hypothetical and do not account for slippage, fees or taxes.