Description of iShares MSCI Turkey ETF

iShares MSCI Turkey ETF

Statistics of iShares MSCI Turkey ETF (YTD)

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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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (66.1%) in the period of the last 5 years, the total return, or performance of -49.8% of iShares MSCI Turkey ETF is lower, thus worse.
  • Compared with SPY (46.2%) in the period of the last 3 years, the total return, or performance of -34.2% is lower, thus worse.

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 annual performance (CAGR) over 5 years of iShares MSCI Turkey ETF is -12.9%, which is smaller, 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 -13%, which is lower, thus worse than the value of 13.5% from the benchmark.

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.'

Which means for our asset as example:
  • The volatility over 5 years of iShares MSCI Turkey ETF is 33.4%, which is greater, thus worse compared to the benchmark SPY (13.4%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 34.4%, which is larger, thus worse than the value of 12.3% from the benchmark.

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:
  • The downside deviation over 5 years of iShares MSCI Turkey ETF is 34.4%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • During the last 3 years, the downside deviation is 35.9%, which is greater, thus worse than the value of 13.9% 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:
  • The Sharpe Ratio over 5 years of iShares MSCI Turkey ETF is -0.46, which is smaller, thus worse compared to the benchmark SPY (0.61) in the same period.
  • Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of -0.45 is smaller, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.45 of iShares MSCI Turkey ETF is smaller, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is -0.43, which is smaller, thus worse than the value of 0.8 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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of iShares MSCI Turkey ETF is 36 , which is greater, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 30 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.04 ).

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 DrawDown of -64.1 days of iShares MSCI Turkey ETF is smaller, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -58.1 days is lower, thus worse.

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 days below previous high of 1251 days in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 469 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 time in days below previous high water mark of 625 days in the last 5 years of iShares MSCI Turkey ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • During the last 3 years, the average time in days below previous high water mark is 183 days, which is higher, thus worse than the value of 36 days from the benchmark.

Performance of iShares MSCI Turkey ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Turkey ETF
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Allocations

Returns of iShares MSCI Turkey ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Turkey 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.