Description of iShares MSCI Frontier 100 Fund

iShares MSCI Frontier 100 Fund ETF

Statistics of iShares MSCI Frontier 100 Fund (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of iShares MSCI Frontier 100 Fund is -2.8%, which is lower, thus worse compared to the benchmark SPY (68.7%) in the same period.
  • During the last 3 years, the total return, or performance is 20.8%, which is smaller, thus worse than the value of 47.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of -0.6% of iShares MSCI Frontier 100 Fund is lower, thus worse.
  • During the last 3 years, the annual performance (CAGR) is 6.5%, which is smaller, thus worse than the value of 14% from the benchmark.

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:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the volatility of 14.1% of iShares MSCI Frontier 100 Fund is greater, thus worse.
  • Looking at historical 30 days volatility in of 13% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.5%).

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:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 14.7% of iShares MSCI Frontier 100 Fund is higher, thus worse.
  • Looking at downside volatility in of 14.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.2%).

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of -0.22 in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.64)
  • Compared with SPY (0.91) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.31 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.21 of iShares MSCI Frontier 100 Fund is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is 0.28, which is smaller, thus worse than the value of 0.81 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 19 in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (3.96 )
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Index of 11 is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -36.6 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -25.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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). 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'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 857 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 334 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 344 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 101 days is larger, thus worse.

Performance of iShares MSCI Frontier 100 Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Frontier 100 Fund
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Allocations

Returns of iShares MSCI Frontier 100 Fund (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Frontier 100 Fund 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.