Description

The investment seeks to track the investment results of the MSCI All Peru Capped Index. 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 an index composed of Peruvian equities. 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:
  • Looking at the total return, or performance of -2.6% in the last 5 years of iShares MSCI Peru ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (78.4%)
  • During the last 3 years, the total return, or increase in value is -9%, which is smaller, thus worse than the value of 44.1% from the benchmark.

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 (12.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -0.5% of iShares MSCI Peru ETF is smaller, thus worse.
  • During the last 3 years, the annual return (CAGR) is -3.1%, which is smaller, thus worse than the value of 12.9% from the benchmark.

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:
  • Looking at the volatility of 23.7% in the last 5 years of iShares MSCI Peru ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.9%)
  • During the last 3 years, the historical 30 days volatility is 28.1%, which is greater, thus worse than the value of 23.1% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The downside risk over 5 years of iShares MSCI Peru ETF is 18.1%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Looking at downside deviation in of 21.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.9%).

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 (0.49) in the period of the last 5 years, the Sharpe Ratio of -0.13 of iShares MSCI Peru ETF is lower, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of -0.2 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.45).

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:
  • The downside risk / excess return profile over 5 years of iShares MSCI Peru ETF is -0.17, which is smaller, thus worse compared to the benchmark SPY (0.67) in the same period.
  • Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of -0.26 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Ratio of 22 in the last 5 years of iShares MSCI Peru ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (6.16 )
  • During the last 3 years, the Ulcer Index is 19 , which is greater, thus worse than the value of 6.87 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -51 days of iShares MSCI Peru ETF is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -43.7 days, which is smaller, 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.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of iShares MSCI Peru ETF is 1030 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 392 days is larger, 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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of iShares MSCI Peru ETF is 441 days, which is greater, thus worse compared to the benchmark SPY (35 days) in the same period.
  • During the last 3 years, the average days under water is 172 days, which is higher, thus worse than the value of 27 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 Peru 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.