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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of iShares MSCI Malaysia Index Fund is -18.2%, which is lower, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • Looking at total return, or increase in value in of 2.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (45.7%).

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 -3.9% in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
  • Looking at annual performance (CAGR) in of 0.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.4%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 17.7% 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 (13.3%)
  • During the last 3 years, the 30 days standard deviation is 15%, which is larger, thus worse than the value of 12.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 18.3% of iShares MSCI Malaysia Index Fund is larger, thus worse.
  • Compared with SPY (14.1%) in the period of the last 3 years, the downside risk of 16.4% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of -0.36 of iShares MSCI Malaysia Index Fund is smaller, thus worse.
  • Looking at risk / return profile (Sharpe) in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.87).

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.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of iShares MSCI Malaysia Index Fund is -0.35, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Looking at ratio of annual return and downside deviation in of -0.1 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 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:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Downside risk index of 24 of iShares MSCI Malaysia Index Fund is greater, thus better.
  • During the last 3 years, the Downside risk index is 9.62 , which is larger, thus better than the value of 4.01 from the benchmark.

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 (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -40.2 days of iShares MSCI Malaysia Index Fund is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -19.4 days is lower, 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 1150 days in the last 5 years of iShares MSCI Malaysia Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 419 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 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:
  • Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days under water of 533 days of iShares MSCI Malaysia Index Fund is higher, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 162 days, which is larger, thus worse than the value of 34 days from the benchmark.

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.