Description of iShares MSCI South Korea ETF

iShares Inc iShares MSCI South Korea ETF

Statistics of iShares MSCI South Korea ETF (YTD)

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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.'

Which means for our asset as example:
  • The total return over 5 years of iShares MSCI South Korea ETF is -2.7%, which is lower, thus worse compared to the benchmark SPY (65.8%) in the same period.
  • Compared with SPY (48.8%) in the period of the last 3 years, the total return, or performance of 9.2% is smaller, 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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of -0.6% in the last 5 years of iShares MSCI South Korea ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.6%)
  • Compared with SPY (14.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 3% is smaller, thus worse.

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.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 19.8% in the last 5 years of iShares MSCI South Korea ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
  • During the last 3 years, the historical 30 days volatility is 19.7%, which is larger, thus worse than the value of 12.8% 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:
  • The downside volatility over 5 years of iShares MSCI South Korea ETF is 20.6%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
  • Compared with SPY (14.6%) in the period of the last 3 years, the downside risk of 20.9% is greater, thus worse.

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 (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.15 of iShares MSCI South Korea ETF is lower, thus worse.
  • Compared with SPY (0.91) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.02 is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of -0.15 in the last 5 years of iShares MSCI South Korea ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
  • Looking at excess return divided by the downside deviation in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.8).

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:
  • The Downside risk index over 5 years of iShares MSCI South Korea ETF is 16 , which is greater, thus worse compared to the benchmark SPY (4.03 ) in the same period.
  • Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

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.'

Using this definition on our asset we see for example:
  • The maximum reduction from previous high over 5 years of iShares MSCI South Korea ETF is -34.4 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -34.4 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

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'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 627 days in the last 5 years of iShares MSCI South Korea ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 412 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of iShares MSCI South Korea ETF is 234 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 131 days is higher, thus worse.

Performance of iShares MSCI South Korea ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI South Korea ETF
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Allocations

Returns of iShares MSCI South Korea ETF (%)

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