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:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (68.6%) in the period of the last 5 years, the total return, or increase in value of 2.7% of iShares MSCI Frontier 100 Fund is lower, thus worse.
  • Compared with SPY (51%) in the period of the last 3 years, the total return of 22.6% is lower, thus worse.

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:
  • The annual performance (CAGR) over 5 years of iShares MSCI Frontier 100 Fund is 0.5%, which is smaller, thus worse compared to the benchmark SPY (11%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 7%, which is smaller, thus worse than the value of 14.8% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the volatility of 13.6% of iShares MSCI Frontier 100 Fund is higher, thus worse.
  • During the last 3 years, the historical 30 days volatility is 12.3%, which is lower, thus better than the value of 12.8% from the benchmark.

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.'

Which means for our asset as example:
  • The downside deviation over 5 years of iShares MSCI Frontier 100 Fund is 14.2%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside deviation of 13.4% is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.14 of iShares MSCI Frontier 100 Fund is lower, thus worse.
  • Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.37 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:
  • Looking at the ratio of annual return and downside deviation of -0.14 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 (0.57)
  • Looking at downside risk / excess return profile in of 0.34 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.83).

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:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Index of 15 of iShares MSCI Frontier 100 Fund is larger, thus worse.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Downside risk index of 13 is higher, 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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of iShares MSCI Frontier 100 Fund is -30 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -25.2 days, which is lower, 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) in days.'

Which means for our asset as example:
  • Looking at the maximum days under water of 693 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 460 days is greater, thus worse.

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:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 284 days of iShares MSCI Frontier 100 Fund is larger, thus worse.
  • Looking at average days under water in of 158 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).

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 (%)

  • Note that yearly returns do not equal 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.