Description

The investment seeks to track the investment results of the MSCI United Kingdom Index. The fund will at all times invest at least 90% 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 London Stock Exchange. The underlying index 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 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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of iShares MSCI United Kingdom ETF is 9.4%, which is smaller, thus worse compared to the benchmark SPY (62.6%) in the same period.
  • Looking at total return, or performance in of 6.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32.1%).

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 compounded annual growth rate (CAGR) of 1.8% in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.2%)
  • Looking at compounded annual growth rate (CAGR) in of 2.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.7%).

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:
  • The volatility over 5 years of iShares MSCI United Kingdom ETF is 22%, which is higher, thus worse compared to the benchmark SPY (21.5%) in the same period.
  • Looking at 30 days standard deviation in of 26.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24.8%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 16.4% in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.6%)
  • Compared with SPY (17.9%) in the period of the last 3 years, the downside volatility of 19.5% is higher, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.36) in the period of the last 5 years, the Sharpe Ratio of -0.03 of iShares MSCI United Kingdom ETF is lower, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of -0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.29).

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:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the downside risk / excess return profile of -0.04 of iShares MSCI United Kingdom ETF is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is -0.02, which is smaller, thus worse than the value of 0.4 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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 13 in the last 5 years of iShares MSCI United Kingdom ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.52 )
  • Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 14 is larger, thus worse.

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:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -43.3 days of iShares MSCI United Kingdom ETF is smaller, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -42.5 days is smaller, 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:
  • Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 824 days of iShares MSCI United Kingdom ETF is larger, thus worse.
  • During the last 3 years, the maximum days under water is 348 days, which is greater, thus worse than the value of 235 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.'

Which means for our asset as example:
  • The average days under water over 5 years of iShares MSCI United Kingdom ETF is 301 days, which is larger, thus worse compared to the benchmark SPY (55 days) in the same period.
  • During the last 3 years, the average days below previous high is 120 days, which is larger, thus worse than the value of 59 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 United Kingdom 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.