Description of iShares MSCI Malaysia Index Fund

iShares MSCI Malaysia Index Fund ETF

Statistics of iShares MSCI Malaysia 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return of -27.4% of iShares MSCI Malaysia Index Fund is lower, thus worse.
  • Looking at total return, or increase in value in of 2.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of -6.2% of iShares MSCI Malaysia Index Fund is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.9%).

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:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 17.7% of iShares MSCI Malaysia Index Fund is greater, thus worse.
  • Compared with SPY (12.5%) in the period of the last 3 years, the 30 days standard deviation of 14.7% is larger, thus worse.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of iShares MSCI Malaysia Index Fund is 18.2%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Looking at downside deviation in of 16% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.2%).

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:
  • The Sharpe Ratio over 5 years of iShares MSCI Malaysia Index Fund is -0.49, which is smaller, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Looking at Sharpe Ratio in of -0.1 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

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:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the downside risk / excess return profile of -0.48 of iShares MSCI Malaysia Index Fund is lower, thus worse.
  • Compared with SPY (0.8) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.1 is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of iShares MSCI Malaysia Index Fund is 25 , which is higher, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Downside risk index of 8.92 is larger, thus better.

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 DrawDown of -40.2 days in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -20 days is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 1189 days in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively larger, 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 278 days is larger, 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:
  • The average days below previous high over 5 years of iShares MSCI Malaysia Index Fund is 565 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Looking at average days under water in of 89 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 Malaysia Index Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Malaysia Index Fund
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Allocations

Returns of iShares MSCI Malaysia Index Fund (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Malaysia 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.