Description

iShares MSCI UAE 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:
  • Compared with the benchmark SPY (67.7%) in the period of the last 5 years, the total return of 17% of iShares MSCI UAE ETF is lower, thus worse.
  • Looking at total return, or performance in of 30.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (37%).

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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 3.2% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.9%)
  • During the last 3 years, the annual return (CAGR) is 9.4%, which is lower, thus worse than the value of 11.1% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 21.4% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.4%)
  • Compared with SPY (24.8%) in the period of the last 3 years, the 30 days standard deviation of 23.7% is lower, thus better.

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 15.3% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.5%)
  • Looking at downside risk in of 16.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.9%).

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 0.03 in the last 5 years of iShares MSCI UAE ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
  • Looking at risk / return profile (Sharpe) in of 0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.34).

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:
  • The ratio of annual return and downside deviation over 5 years of iShares MSCI UAE ETF is 0.05, which is smaller, thus worse compared to the benchmark SPY (0.54) in the same period.
  • Looking at excess return divided by the downside deviation in of 0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.48).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 19 in the last 5 years of iShares MSCI UAE ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.47 )
  • During the last 3 years, the Ulcer Ratio is 14 , which is higher, 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.'

Which means for our asset as example:
  • The maximum drop from peak to valley over 5 years of iShares MSCI UAE ETF is -49.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -39.7 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 908 days in the last 5 years of iShares MSCI UAE ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (231 days)
  • Compared with SPY (231 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 275 days is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (54 days) in the period of the last 5 years, the average time in days below previous high water mark of 352 days of iShares MSCI UAE ETF is greater, thus worse.
  • Compared with SPY (58 days) in the period of the last 3 years, the average time in days below previous high water mark of 81 days is higher, thus worse.

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 UAE 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.