iShares Currency Hedged MSCI Australia ETF (HAUD)

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.'

• The total return, or performance over 5 years of iShares Currency Hedged MSCI Australia ETF is 32.4%, which is lower, thus worse compared to the benchmark SPY (107.6%) in the same period.
• Compared with SPY (48.1%) in the period of the last 3 years, the total return of 19.7% is lower, thus worse.

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.'

• The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Australia ETF is 11.3%, which is smaller, thus worse compared to the benchmark SPY (15.8%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9%, which is smaller, thus worse than the value of 14% 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.'

• The 30 days standard deviation over 5 years of iShares Currency Hedged MSCI Australia ETF is 28.6%, which is higher, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Looking at volatility in of 27.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.3%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the downside deviation of 20.7% of iShares Currency Hedged MSCI Australia ETF is larger, thus worse.
• Compared with SPY (12.4%) in the period of the last 3 years, the downside deviation of 19.9% is greater, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.31 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 (0.74)
• During the last 3 years, the Sharpe Ratio is 0.24, which is smaller, thus worse than the value of 0.63 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.'

• Looking at the excess return divided by the downside deviation of 0.42 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 (1.06)
• Compared with SPY (0.93) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.33 is lower, 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.'

• Looking at the Ulcer Ratio of 9.4 in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Ratio is 10 , which is larger, thus worse than the value of 5.54 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -32.5 days of iShares Currency Hedged MSCI Australia ETF is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -32.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 127 days of iShares Currency Hedged MSCI Australia ETF is smaller, thus better.
• During the last 3 years, the maximum days under water is 127 days, which is smaller, thus better than the value of 199 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.'

• The average days below previous high over 5 years of iShares Currency Hedged MSCI Australia ETF is 28 days, which is smaller, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 31 days, which is smaller, thus better than the value of 45 days from the benchmark.