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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of iShares MSCI Sweden ETF is 78%, which is smaller, thus worse compared to the benchmark SPY (115.6%) in the same period.
  • Compared with SPY (43%) in the period of the last 3 years, the total return, or performance of 26% is smaller, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the annual return (CAGR) of 12.2% of iShares MSCI Sweden ETF is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is 8%, which is smaller, thus worse than the value of 12.6% 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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of iShares MSCI Sweden ETF is 23.3%, which is higher, thus worse compared to the benchmark SPY (18.8%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 26.3%, which is higher, thus worse than the value of 22.8% 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:
  • Looking at the downside risk of 17.4% in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
  • Looking at downside deviation in of 19.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.7%).

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 (0.75) in the period of the last 5 years, the Sharpe Ratio of 0.42 of iShares MSCI Sweden ETF is smaller, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.21 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.44).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (1.04) in the period of the last 5 years, the downside risk / excess return profile of 0.56 of iShares MSCI Sweden ETF is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.61).

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:
  • The Ulcer Index over 5 years of iShares MSCI Sweden ETF is 9.59 , which is larger, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • Compared with SPY (7.14 ) in the period of the last 3 years, the Ulcer Index of 12 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -37.2 days in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum drop from peak to valley in of -37.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 487 days in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum time in days below previous high water mark in of 487 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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:
  • The average time in days below previous high water mark over 5 years of iShares MSCI Sweden ETF is 127 days, which is higher, 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 175 days in the period of the last 3 years, we see it is relatively higher, 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 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.