Description

The investment seeks to track the investment results of the MSCI Taiwan 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 Taiwanese 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:
  • Looking at the total return, or increase in value of 131.7% in the last 5 years of iShares MSCI Taiwan ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (106.8%)
  • Compared with SPY (71.9%) in the period of the last 3 years, the total return, or increase in value of 110.2% is greater, thus better.

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:
  • Looking at the annual return (CAGR) of 18.3% in the last 5 years of iShares MSCI Taiwan ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (15.7%)
  • Looking at annual performance (CAGR) in of 28.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.8%).

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 20.2% in the last 5 years of iShares MSCI Taiwan ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.9%)
  • Compared with SPY (21.9%) in the period of the last 3 years, the volatility of 22.2% is higher, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of iShares MSCI Taiwan ETF is 14.7%, which is higher, thus worse compared to the benchmark SPY (13.8%) in the same period.
  • Looking at downside volatility in of 16.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.9%).

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:
  • Compared with the benchmark SPY (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.78 of iShares MSCI Taiwan ETF is higher, thus better.
  • During the last 3 years, the Sharpe Ratio is 1.15, which is greater, thus better than the value of 0.79 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of iShares MSCI Taiwan ETF is 1.07, which is larger, thus better compared to the benchmark SPY (0.95) in the same period.
  • Looking at excess return divided by the downside deviation in of 1.57 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.09).

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 7.25 in the last 5 years of iShares MSCI Taiwan ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.61 )
  • Looking at Ulcer Ratio in of 5.83 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (6.08 ).

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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of iShares MSCI Taiwan ETF is -29.5 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -29.5 days in the period of the last 3 years, we see it is relatively higher, thus better 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) in days.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 437 days in the last 5 years of iShares MSCI Taiwan ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum days under water in of 119 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 days).

AveDuration:

'The Average 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. 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:
  • Looking at the average days below previous high of 100 days in the last 5 years of iShares MSCI Taiwan ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (32 days)
  • During the last 3 years, the average days under water is 29 days, which is larger, thus worse than the value of 22 days from the benchmark.

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 Taiwan 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.