Description of iShares MSCI Sweden ETF

iShares Inc iShares MSCI Sweden ETF

Statistics of iShares MSCI Sweden ETF (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (74.4%) in the period of the last 5 years, the total return of 16.7% of iShares MSCI Sweden ETF is lower, thus worse.
  • Looking at total return in of 17.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.2%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 3.1% in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11.8%)
  • Looking at compounded annual growth rate (CAGR) in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.8%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 18.1% of iShares MSCI Sweden ETF is greater, thus worse.
  • Compared with SPY (12.9%) in the period of the last 3 years, the 30 days standard deviation of 15.5% is greater, 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:
  • Looking at the downside volatility of 19.5% in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
  • Compared with SPY (14.6%) in the period of the last 3 years, the downside volatility of 17% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 0.04 in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.68)
  • Compared with SPY (0.88) in the period of the last 3 years, the Sharpe Ratio of 0.19 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:
  • Looking at the downside risk / excess return profile of 0.03 in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
  • Looking at excess return divided by the downside deviation in of 0.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.77).

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 11 in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
  • Looking at Ulcer Ratio in of 9.55 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.1 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • 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)
  • Looking at maximum drop from peak to valley in of -23.3 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

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:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 475 days of iShares MSCI Sweden ETF is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 433 days, which is higher, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Average 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. 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:
  • Looking at the average time in days below previous high water mark of 177 days in the last 5 years of iShares MSCI Sweden ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 142 days is higher, thus worse.

Performance of iShares MSCI Sweden ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Sweden ETF
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Allocations

Returns of iShares MSCI Sweden ETF (%)

  • "Year" returns in the table above are not equal to 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.