Description

iShares Inc iShares MSCI Thailand ETF

Statistics (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.'

Using this definition on our asset we see for example:
  • Looking at the total return of 7.4% in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (77.1%)
  • During the last 3 years, the total return, or performance is 9.9%, which is smaller, thus worse than the value of 51.7% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Thailand ETF is 1.4%, which is lower, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • Looking at annual return (CAGR) in of 3.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14.9%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 17.1% of iShares MSCI Thailand ETF is higher, thus worse.
  • Looking at volatility in of 14.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13%).

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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of iShares MSCI Thailand ETF is 12.1%, which is higher, thus worse compared to the benchmark SPY (9.6%) in the same period.
  • During the last 3 years, the downside risk is 10.1%, which is higher, thus worse than the value of 9.4% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of iShares MSCI Thailand ETF is -0.06, which is smaller, thus worse compared to the benchmark SPY (0.72) in the same period.
  • Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.05 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of -0.09 in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.07, which is lower, thus worse than the value of 1.32 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 12 in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.97 )
  • Looking at Ulcer Ratio in of 8.56 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

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:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -32.7 days of iShares MSCI Thailand ETF is smaller, thus worse.
  • During the last 3 years, the maximum drop from peak to valley is -19.8 days, which is smaller, 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). 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'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 547 days in the last 5 years of iShares MSCI Thailand ETF, 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 time in days below previous high water mark of 499 days is larger, 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:
  • Looking at the average days below previous high of 229 days in the last 5 years of iShares MSCI Thailand ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
  • Looking at average days below previous high in of 183 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (37 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Thailand 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.