Description

The investment seeks to track the investment results of the MSCI Germany 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 primarily consists of stocks traded on the Frankfurt Stock Exchange. It will include large- and mid-capitalization companies and may change over time. The fund is non-diversified.

Statistics (YTD)

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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • Compared with the benchmark SPY (128%) in the period of the last 5 years, the total return, or increase in value of 56.1% of iShares MSCI Germany Index Fund is smaller, thus worse.
  • Compared with SPY (44.9%) in the period of the last 3 years, the total return, or increase in value of -0.6% 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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of iShares MSCI Germany Index Fund is 9.3%, which is lower, thus worse compared to the benchmark SPY (17.9%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is -0.2%, which is lower, thus worse than the value of 13.2% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of iShares MSCI Germany Index Fund is 21.9%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
  • Compared with SPY (22.9%) in the period of the last 3 years, the historical 30 days volatility of 25.1% is larger, thus worse.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 16.4% in the last 5 years of iShares MSCI Germany Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
  • Compared with SPY (16.7%) in the period of the last 3 years, the downside volatility of 19.1% is greater, 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.'

Using this definition on our asset we see for example:
  • The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Germany Index Fund is 0.31, which is smaller, thus worse compared to the benchmark SPY (0.82) in the same period.
  • Compared with SPY (0.47) in the period of the last 3 years, the Sharpe Ratio of -0.11 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.42 in the last 5 years of iShares MSCI Germany Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.14)
  • Looking at excess return divided by the downside deviation in of -0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.64).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 14 of iShares MSCI Germany Index Fund is larger, thus worse.
  • Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (7.15 ).

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.'

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 -46.8 days of iShares MSCI Germany Index Fund is smaller, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -46.8 days is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • 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 754 days of iShares MSCI Germany Index Fund is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 754 days, which is greater, 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 248 days in the last 5 years of iShares MSCI Germany Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
  • Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 378 days is larger, thus worse.

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 Germany Index Fund 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.