Description

iShares Trust iShares MSCI Saudi Arabia ETF

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.'

Which means for our asset as example:
  • Looking at the total return, or performance of 72.2% in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (67.7%)
  • Looking at total return in of 40.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (37%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 11.5% of iShares MSCI Saudi Arabia ETF is higher, thus better.
  • Looking at annual return (CAGR) in of 12% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (11.1%).

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:
  • The 30 days standard deviation over 5 years of iShares MSCI Saudi Arabia ETF is 23.4%, which is higher, thus worse compared to the benchmark SPY (21.4%) in the same period.
  • Compared with SPY (24.8%) in the period of the last 3 years, the 30 days standard deviation of 26.5% is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 16.4% in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.5%)
  • During the last 3 years, the downside risk is 18.6%, which is higher, thus worse than the value of 17.9% 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.'

Using this definition on our asset we see for example:
  • The Sharpe Ratio over 5 years of iShares MSCI Saudi Arabia ETF is 0.38, which is smaller, thus worse compared to the benchmark SPY (0.39) in the same period.
  • Compared with SPY (0.34) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.36 is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of 0.55 in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.54)
  • Looking at excess return divided by the downside deviation in of 0.51 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.48).

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:
  • The Downside risk index over 5 years of iShares MSCI Saudi Arabia ETF is 12 , which is higher, thus worse compared to the benchmark SPY (8.47 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 10 , which is greater, thus worse than the value of 10 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -40.6 days in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum drop from peak to valley in of -34.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 465 days in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (231 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 231 days, which is greater, thus worse than the value of 231 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 116 days in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (54 days)
  • Looking at average time in days below previous high water mark in of 63 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (58 days).

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 MSCI Saudi Arabia 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.