Description

The investment seeks to track the investment results of the MSCI France 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 Paris 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:

'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:
  • Compared with the benchmark SPY (113.4%) in the period of the last 5 years, the total return of 81.7% of iShares MSCI France Index Fund is lower, thus worse.
  • Compared with SPY (69.8%) in the period of the last 3 years, the total return, or performance of 56.4% 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:
  • Looking at the compounded annual growth rate (CAGR) of 12.7% in the last 5 years of iShares MSCI France Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.4%)
  • Looking at compounded annual growth rate (CAGR) in of 16.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.4%).

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 20% in the last 5 years of iShares MSCI France Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.6%)
  • During the last 3 years, the volatility is 19.2%, which is higher, thus worse than the value of 17.5% 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.'

Which means for our asset as example:
  • Looking at the downside deviation of 13.6% in the last 5 years of iShares MSCI France Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (12.1%)
  • Compared with SPY (11.5%) in the period of the last 3 years, the downside risk of 12.7% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.51 of iShares MSCI France Index Fund is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.71, which is smaller, thus worse than the value of 0.97 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.15) in the period of the last 5 years, the downside risk / excess return profile of 0.75 of iShares MSCI France Index Fund is lower, thus worse.
  • Compared with SPY (1.47) in the period of the last 3 years, the excess return divided by the downside deviation of 1.07 is lower, thus worse.

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:
  • The Ulcer Index over 5 years of iShares MSCI France Index Fund is 9.37 , which is higher, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 6.47 is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of iShares MSCI France Index Fund is -31.5 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum drop from peak to valley in of -18.8 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 311 days in the last 5 years of iShares MSCI France Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
  • Looking at maximum days below previous high in of 199 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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 (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 73 days of iShares MSCI France Index Fund is lower, thus better.
  • Looking at average days under water in of 49 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI France Index Fund are hypothetical and do not account for slippage, fees or taxes.