iShares Currency Hedged MSCI Australia ETF (HAUD)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• 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 (67.5%) in the same period.
• Compared with SPY (39.8%) 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.'

• Looking at the annual performance (CAGR) of 11.3% in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (10.9%)
• Compared with SPY (11.8%) in the period of the last 3 years, the annual return (CAGR) of 9% is lower, thus worse.

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.'

• Looking at the 30 days standard deviation of 28.6% in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
• During the last 3 years, the volatility is 27.2%, which is higher, thus worse than the value of 18.7% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 20.7% 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 (15.4%)
• Looking at downside volatility in of 19.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.3%).

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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.31 of iShares Currency Hedged MSCI Australia ETF is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.5).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares Currency Hedged MSCI Australia ETF is 0.42, which is lower, thus worse compared to the benchmark SPY (0.54) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.33 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.7).

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.'

• The Ulcer Index over 5 years of iShares Currency Hedged MSCI Australia ETF is 9.4 , which is lower, thus better compared to the benchmark SPY (9.48 ) in the same period.
• Looking at Downside risk index in of 10 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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.'

• The maximum DrawDown over 5 years of iShares Currency Hedged MSCI Australia ETF is -32.5 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• 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 (-24.5 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). 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'

• Compared with the benchmark SPY (358 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 lower, thus better.
• Compared with SPY (358 days) in the period of the last 3 years, the maximum days under water of 127 days is lower, thus better.

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 lower, thus better compared to the benchmark SPY (80 days) in the same period.
• Looking at average days below previous high in of 31 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (104 days).