Description

iShares Inc iShares MSCI Sweden ETF

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:
  • Looking at the total return of 10.7% in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.4%)
  • During the last 3 years, the total return is 16.8%, which is lower, thus worse than the value of 39.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 2% of iShares MSCI Sweden ETF is lower, thus worse.
  • Looking at annual performance (CAGR) in of 5.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.7%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of iShares MSCI Sweden ETF is 18.1%, which is higher, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at volatility in of 16.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.2%).

DownVol:

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

Which means for our asset as example:
  • Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the downside volatility of 13.4% of iShares MSCI Sweden ETF is higher, thus worse.
  • Compared with SPY (9.8%) in the period of the last 3 years, the downside deviation of 11.8% is higher, thus worse.

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 (0.57) in the period of the last 5 years, the Sharpe Ratio of -0.02 of iShares MSCI Sweden ETF is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 0.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.69).

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.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of iShares MSCI Sweden ETF is -0.03, which is smaller, thus worse compared to the benchmark SPY (0.78) in the same period.
  • Compared with SPY (0.94) in the period of the last 3 years, the downside risk / excess return profile of 0.24 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 11 in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.98 )
  • Compared with SPY (4.12 ) in the period of the last 3 years, the Ulcer Ratio of 9.67 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -23.4 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 (-19.3 days)
  • During the last 3 years, the maximum DrawDown is -23.3 days, which is lower, thus worse than the value of -19.3 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 days below previous high over 5 years of iShares MSCI Sweden ETF is 487 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days under water in of 487 days in the period of the last 3 years, we see it is relatively higher, 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 days under water over 5 years of iShares MSCI Sweden ETF is 194 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Looking at average time in days below previous high water mark in of 173 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (37 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.