Description of iShares Latin America 40 ETF

iShares Latin America 40 ETF

Statistics of iShares Latin America 40 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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of iShares Latin America 40 ETF is -2.6%, which is lower, thus worse compared to the benchmark SPY (66.1%) in the same period.
  • During the last 3 years, the total return is 36.1%, which is lower, thus worse than the value of 46.2% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of iShares Latin America 40 ETF is -0.5%, which is lower, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 10.8%, which is lower, thus worse than the value of 13.5% 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.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 27.1% in the last 5 years of iShares Latin America 40 ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.4%)
  • During the last 3 years, the 30 days standard deviation is 24.6%, which is greater, thus worse than the value of 12.3% 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 deviation of 28.1% 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 (14.6%)
  • During the last 3 years, the downside volatility is 27.4%, which is greater, thus worse than the value of 13.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of return and volatility (Sharpe) of -0.11 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 (0.61)
  • Looking at Sharpe Ratio in of 0.34 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.9).

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 downside risk / excess return profile of -0.11 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 (0.56)
  • Looking at excess return divided by the downside deviation in of 0.3 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.8).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 27 of iShares Latin America 40 ETF is larger, thus worse.
  • Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Ratio of 11 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:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -56.1 days of iShares Latin America 40 ETF is lower, thus worse.
  • Looking at maximum DrawDown in of -26 days in the period of the last 3 years, we see it is relatively smaller, 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) in days.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 1225 days of iShares Latin America 40 ETF is larger, thus worse.
  • During the last 3 years, the maximum days under water is 369 days, which is larger, thus worse than the value of 139 days from the benchmark.

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:
  • Looking at the average days below previous high of 601 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 (41 days)
  • Looking at average days below previous high in of 109 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance of iShares Latin America 40 ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Latin America 40 ETF
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Allocations

Returns of iShares Latin America 40 ETF (%)

  • "Year" returns in the table above are not equal to 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.