Description

iShares Inc iShares MSCI Austria ETF

Statistics (YTD)

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

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (83.6%) in the period of the last 5 years, the total return, or increase in value of 9.5% of iShares MSCI Austria ETF is smaller, thus worse.
  • During the last 3 years, the total return, or increase in value is -33.9%, which is smaller, thus worse than the value of 36.9% from the benchmark.

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:
  • Compared with the benchmark SPY (12.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 1.8% of iShares MSCI Austria ETF is smaller, thus worse.
  • Compared with SPY (11.1%) in the period of the last 3 years, the annual return (CAGR) of -12.9% 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:
  • Looking at the volatility of 23.7% in the last 5 years of iShares MSCI Austria ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.8%)
  • Compared with SPY (22.4%) in the period of the last 3 years, the volatility of 26.6% is higher, thus worse.

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.'

Which means for our asset as example:
  • The downside volatility over 5 years of iShares MSCI Austria ETF is 18.5%, which is higher, thus worse compared to the benchmark SPY (13.7%) in the same period.
  • Looking at downside volatility in of 21.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.5%).

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:
  • Looking at the ratio of return and volatility (Sharpe) of -0.03 in the last 5 years of iShares MSCI Austria ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
  • During the last 3 years, the Sharpe Ratio is -0.58, which is lower, thus worse than the value of 0.38 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of -0.04 in the last 5 years of iShares MSCI Austria ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.76)
  • During the last 3 years, the ratio of annual return and downside deviation is -0.73, which is lower, thus worse than the value of 0.52 from the benchmark.

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 (5.78 ) in the period of the last 5 years, the Downside risk index of 20 of iShares MSCI Austria ETF is greater, thus worse.
  • During the last 3 years, the Downside risk index is 25 , which is larger, thus worse than the value of 7.07 from the benchmark.

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:
  • The maximum reduction from previous high over 5 years of iShares MSCI Austria ETF is -58.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -58.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 669 days of iShares MSCI Austria ETF is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 669 days, which is higher, thus worse than the value of 139 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days below previous high of 215 days of iShares MSCI Austria ETF is higher, thus worse.
  • Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 308 days is greater, 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 Austria 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.