Description of iShares Currency Hedged MSCI Australia ETF

iShares Currency Hedged MSCI Australia ETF

Statistics of iShares Currency Hedged MSCI Australia ETF (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.'

Which means for our asset as example:
  • Looking at the total return, or performance of % in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.1%)
  • Looking at total return in of 37.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.2%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:
  • The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Australia ETF is %, 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 11.2%, which is lower, thus worse than the value of 13.5% from the benchmark.

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:
  • Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the 30 days standard deviation of % of iShares Currency Hedged MSCI Australia ETF is smaller, thus better.
  • During the last 3 years, the historical 30 days volatility is 11.3%, which is lower, thus better than the value of 12.3% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside risk of % in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.6%)
  • Looking at downside risk in of 17.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.9%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
  • During the last 3 years, the Sharpe Ratio is 0.77, which is smaller, thus worse than the value of 0.9 from the benchmark.

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:
  • The ratio of annual return and downside deviation over 5 years of iShares Currency Hedged MSCI Australia ETF is , which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.48 is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.04 ) in the period of the last 3 years, the Downside risk index of 3.84 is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of iShares Currency Hedged MSCI Australia ETF is days, which is higher, thus better compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -13.4 days is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of days of iShares Currency Hedged MSCI Australia ETF is lower, thus better.
  • During the last 3 years, the maximum days below previous high is 134 days, which is lower, thus better than the value of 139 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:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of days of iShares Currency Hedged MSCI Australia ETF is lower, thus better.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 48 days is greater, thus worse.

Performance of iShares Currency Hedged MSCI Australia ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Currency Hedged MSCI Australia ETF
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Allocations

Returns of iShares Currency Hedged MSCI Australia ETF (%)

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