Description of iShares MSCI Japan Index Fund

iShares MSCI Japan Index Fund ETF

Statistics of iShares MSCI Japan Index Fund (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 39.5% in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (67.6%)
  • Compared with SPY (51.3%) in the period of the last 3 years, the total return, or increase in value of 26.9% is lower, 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 (10.9%) in the period of the last 5 years, the annual return (CAGR) of 6.9% of iShares MSCI Japan Index Fund is smaller, thus worse.
  • Compared with SPY (14.8%) in the period of the last 3 years, the annual performance (CAGR) of 8.3% is smaller, thus worse.

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 30 days standard deviation over 5 years of iShares MSCI Japan Index Fund is 15.2%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at volatility in of 12.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.8%).

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:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside deviation of 16.9% of iShares MSCI Japan Index Fund is greater, thus worse.
  • Looking at downside deviation in of 14.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.7%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.29 of iShares MSCI Japan Index Fund is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 0.47 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.96).

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.26 in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
  • Looking at ratio of annual return and downside deviation in of 0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of iShares MSCI Japan Index Fund is 8.99 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Index of 9.4 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -22.9 days of iShares MSCI Japan Index Fund is smaller, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -22.9 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:
  • Looking at the maximum time in days below previous high water mark of 457 days in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 457 days is higher, thus worse.

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:
  • Looking at the average days under water of 182 days in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
  • Looking at average days under water in of 158 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance of iShares MSCI Japan Index Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Japan Index Fund
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Allocations

Returns of iShares MSCI Japan Index Fund (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Japan 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.