Description of iShares MSCI Mexico ETF

iShares Inc iShares MSCI Mexico ETF

Statistics of iShares MSCI Mexico ETF (YTD)

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TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of iShares MSCI Mexico ETF is -31.2%, which is lower, thus worse compared to the benchmark SPY (64.1%) in the same period.
  • Compared with SPY (48.1%) in the period of the last 3 years, the total return of 0.2% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of -7.2% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.4%)
  • Looking at compounded annual growth rate (CAGR) in of 0.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14%).

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.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 22.1% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
  • Compared with SPY (12.8%) in the period of the last 3 years, the historical 30 days volatility of 22.4% is greater, thus worse.

DownVol:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 22.6% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
  • During the last 3 years, the downside risk is 23.4%, which is larger, thus worse than the value of 14.5% from the benchmark.

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:
  • Looking at the Sharpe Ratio of -0.44 in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.58)
  • Looking at risk / return profile (Sharpe) in of -0.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.9).

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 excess return divided by the downside deviation over 5 years of iShares MSCI Mexico ETF is -0.43, which is lower, thus worse compared to the benchmark SPY (0.53) in the same period.
  • Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of -0.1 is smaller, 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 Downside risk index over 5 years of iShares MSCI Mexico ETF is 26 , which is higher, thus worse compared to the benchmark SPY (4.02 ) in the same period.
  • Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.09 ).

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:
  • Looking at the maximum DrawDown of -42.3 days in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum reduction from previous high is -33 days, which is lower, thus worse than the value of -19.3 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 1259 days in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 520 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of iShares MSCI Mexico ETF is 630 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Looking at average time in days below previous high water mark in of 198 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).

Performance of iShares MSCI Mexico ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Mexico ETF
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Allocations

Returns of iShares MSCI Mexico ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Mexico 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.