iShares Currency Hedged MSCI Australia ETF (HAUD)

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.'

• 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 (111.3%) in the same period.
• During the last 3 years, the total return, or performance is 19.7%, which is smaller, thus worse than the value of 39.3% from the benchmark.

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.'

• Compared with the benchmark SPY (16.2%) in the period of the last 5 years, the annual return (CAGR) of 11.3% of iShares Currency Hedged MSCI Australia ETF is lower, thus worse.
• Looking at annual performance (CAGR) in of 9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.7%).

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.'

• The volatility over 5 years of iShares Currency Hedged MSCI Australia ETF is 28.6%, which is larger, thus worse compared to the benchmark SPY (20.9%) 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 (17.5%).

DownVol:

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

• Looking at the downside risk of 20.7% 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 (14.9%)
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 19.9% is higher, 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.'

• The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Australia ETF is 0.31, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.24, which is lower, thus worse than the value of 0.53 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI Australia ETF is 0.42, which is lower, thus worse compared to the benchmark SPY (0.92) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.33, which is lower, thus worse than the value of 0.75 from the benchmark.

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.'

• Looking at the Ulcer Index 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 (9.32 )
• Looking at Ulcer 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.'

• Looking at the maximum drop from peak to valley of -32.5 days in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• 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) 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 lower, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 127 days is smaller, 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.'

• Looking at the average days below previous high of 28 days 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 (124 days)
• During the last 3 years, the average days under water is 31 days, which is lower, thus better than the value of 179 days from the benchmark.