Description

The investment seeks to track the investment results of the MSCI Singapore 25/50 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 index is designed to measure the performance of the large- and mid-cap segments of the Singapore market. A capping methodology is applied that limits the weight of any single issuer to a maximum of 25% of the underlying index. The fund is non-diversified.

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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of iShares MSCI Singapore ETF is -12.9%, which is lower, thus worse compared to the benchmark SPY (61.3%) in the same period.
  • Compared with SPY (31.6%) in the period of the last 3 years, the total return of -15.1% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of -2.7% in the last 5 years of iShares MSCI Singapore ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10%)
  • Looking at compounded annual growth rate (CAGR) in of -5.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.6%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the volatility of 19.8% of iShares MSCI Singapore ETF is smaller, thus better.
  • During the last 3 years, the historical 30 days volatility is 22.5%, which is smaller, thus better than the value of 24% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside deviation of 14.7% in the last 5 years of iShares MSCI Singapore ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.3%)
  • Compared with SPY (17.6%) in the period of the last 3 years, the downside deviation of 16.7% is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of iShares MSCI Singapore ETF is -0.26, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • During the last 3 years, the Sharpe Ratio is -0.35, which is smaller, thus worse than the value of 0.3 from the benchmark.

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 excess return divided by the downside deviation of -0.36 in the last 5 years of iShares MSCI Singapore ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
  • Looking at downside risk / excess return profile in of -0.47 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • Compared with the benchmark SPY (7.61 ) in the period of the last 5 years, the Ulcer Ratio of 15 of iShares MSCI Singapore ETF is greater, thus worse.
  • Looking at Ulcer Ratio in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.93 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of iShares MSCI Singapore ETF is -40.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -37.7 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:
  • Looking at the maximum days under water of 1178 days in the last 5 years of iShares MSCI Singapore ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (185 days)
  • Looking at maximum days below previous high in of 313 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (185 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.'

Which means for our asset as example:
  • Looking at the average days under water of 569 days in the last 5 years of iShares MSCI Singapore ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (46 days)
  • Compared with SPY (44 days) in the period of the last 3 years, the average days below previous high of 112 days is greater, thus worse.

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 Singapore 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.