Description

The investment seeks to track the investment results of the S&P Latin America 40TM composed of 40 of the largest Latin American equities. The fund generally invests at least 90% of its assets in securities of the underlying index and in depositary receipts representing securities of the underlying index. It seeks to track the investment results of the S&P Latin America 40TM (the underlying index), which is comprised of selected equities trading on the exchanges of five Latin American countries. The fund is non-diversified.

Statistics (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:
  • Looking at the total return, or performance of 15.2% in the last 5 years of iShares Latin America 40 ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (100.7%)
  • Looking at total return, or increase in value in of 31.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (38%).

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 compounded annual growth rate (CAGR) over 5 years of iShares Latin America 40 ETF is 2.9%, which is lower, thus worse compared to the benchmark SPY (15%) in the same period.
  • Compared with SPY (11.4%) in the period of the last 3 years, the annual return (CAGR) of 9.6% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 32.3% of iShares Latin America 40 ETF is larger, thus worse.
  • During the last 3 years, the volatility is 24.4%, which is higher, thus worse than the value of 17.3% from the benchmark.

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 23.8% in the last 5 years of iShares Latin America 40 ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
  • During the last 3 years, the downside risk is 17.2%, which is larger, thus worse than the value of 12% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.01 in the last 5 years of iShares Latin America 40 ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
  • Looking at risk / return profile (Sharpe) in of 0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.51).

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 (0.83) in the period of the last 5 years, the excess return divided by the downside deviation of 0.02 of iShares Latin America 40 ETF is smaller, thus worse.
  • Looking at excess return divided by the downside deviation in of 0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.74).

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:
  • Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Index of 20 of iShares Latin America 40 ETF is greater, thus worse.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 13 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of iShares Latin America 40 ETF is -55.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -29.7 days is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 868 days in the last 5 years of iShares Latin America 40 ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 299 days is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (124 days) in the period of the last 5 years, the average time in days below previous high water mark of 318 days of iShares Latin America 40 ETF is greater, thus worse.
  • Compared with SPY (181 days) in the period of the last 3 years, the average time in days below previous high water mark of 98 days is lower, thus better.

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 Latin America 40 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.