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 is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of -14.1% 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 (58.9%)
  • Looking at total return, or performance in of 1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.9%).

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:
  • The compounded annual growth rate (CAGR) over 5 years of iShares Latin America 40 ETF is -3%, which is smaller, thus worse compared to the benchmark SPY (9.7%) in the same period.
  • Compared with SPY (10.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.3% is lower, thus worse.

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:
  • The historical 30 days volatility over 5 years of iShares Latin America 40 ETF is 33.4%, which is higher, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • Looking at historical 30 days volatility in of 38.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the downside risk of 24.9% of iShares Latin America 40 ETF is larger, thus worse.
  • During the last 3 years, the downside risk is 28.4%, which is larger, thus worse than the value of 18.1% from the benchmark.

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:
  • Looking at the ratio of return and volatility (Sharpe) of -0.16 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 (0.33)
  • Looking at risk / return profile (Sharpe) in of -0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.31).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.46) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.22 of iShares Latin America 40 ETF is lower, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.08, which is smaller, thus worse than the value of 0.43 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of iShares Latin America 40 ETF is 23 , which is greater, thus worse compared to the benchmark SPY (8.91 ) in the same period.
  • During the last 3 years, the Ulcer Index is 21 , which is larger, thus worse than the value of 11 from the benchmark.

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:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -57.5 days of iShares Latin America 40 ETF is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -51.7 days, which is lower, thus worse than the value of -33.7 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 below previous high of 1258 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 (271 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 332 days, which is larger, thus worse than the value of 271 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.'

Which means for our asset as example:
  • Looking at the average days under water of 630 days 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 (60 days)
  • During the last 3 years, the average time in days below previous high water mark is 128 days, which is higher, thus worse than the value of 72 days from the benchmark.

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.