Description

The investment seeks to track the investment results of the MSCI Sweden 25/50 Index. The fund will at all times invest at least 80% of its assets in the securities of its underlying index and in depositary receipts representing securities in its underlying index. The underlying index is designed to measure the performance of the large- and mid-cap segments of the Swedish market. A capping methodology is applied that limits the weight of any single issuer to a maximum of 25% of the underlying index. 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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of iShares MSCI Sweden ETF is 102.7%, which is lower, thus worse compared to the benchmark SPY (133.2%) in the same period.
  • Looking at total return, or increase in value in of 81.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (80.4%).

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.'

Applying this definition to our asset in some examples:
  • The annual return (CAGR) over 5 years of iShares MSCI Sweden ETF is 15.2%, which is lower, thus worse compared to the benchmark SPY (18.5%) in the same period.
  • Compared with SPY (21.8%) in the period of the last 3 years, the annual return (CAGR) of 22.1% is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 22.5% of iShares MSCI Sweden ETF is larger, thus worse.
  • During the last 3 years, the historical 30 days volatility is 26.5%, which is greater, thus worse than the value of 22.4% 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 Sweden ETF is 16.5%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Looking at downside risk in of 19.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.2%).

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:
  • Compared with the benchmark SPY (0.85) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.57 of iShares MSCI Sweden ETF is smaller, thus worse.
  • Compared with SPY (0.86) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.74 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.18) in the period of the last 5 years, the downside risk / excess return profile of 0.77 of iShares MSCI Sweden ETF is lower, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is 1, which is lower, thus worse than the value of 1.19 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 9.35 of iShares MSCI Sweden ETF is higher, thus worse.
  • During the last 3 years, the Ulcer Index is 8 , which is higher, thus worse than the value of 6.36 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:
  • Looking at the maximum DrawDown of -37.2 days in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum reduction from previous high is -37.2 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) in days.'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 487 days of iShares MSCI Sweden ETF is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 132 days, which is larger, thus worse than the value of 119 days from the benchmark.

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 Sweden ETF is 116 days, which is larger, thus worse compared to the benchmark SPY (32 days) in the same period.
  • Looking at average time in days below previous high water mark in of 31 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25 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 Sweden 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.