Description

iShares Currency Hedged MSCI Australia 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:
  • 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 (88%) in the same period.
  • Compared with SPY (39.5%) in the period of the last 3 years, the total return of 19.7% is smaller, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the annual performance (CAGR) of 11.3% of iShares Currency Hedged MSCI Australia ETF is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is 9%, which is lower, thus worse than the value of 11.7% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the 30 days standard deviation of 28.6% of iShares Currency Hedged MSCI Australia ETF is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 27.2%, which is greater, thus worse than the value of 22.3% 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.'

Applying this definition to our asset in some examples:
  • 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 greater, thus worse in comparison to the benchmark SPY (13.7%)
  • During the last 3 years, the downside deviation is 19.9%, which is larger, thus worse than the value of 16.5% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) 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 (0.58)
  • Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.24 is lower, thus worse.

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:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the downside risk / excess return profile of 0.42 of iShares Currency Hedged MSCI Australia ETF is smaller, thus worse.
  • Compared with SPY (0.56) in the period of the last 3 years, the excess return divided by the 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.79 ) in the period of the last 5 years, the Downside risk index of 9.4 of iShares Currency Hedged MSCI Australia ETF is higher, thus worse.
  • During the last 3 years, the Ulcer Index is 10 , which is larger, thus worse than the value of 7.08 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 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 larger, thus better.
  • During the last 3 years, the maximum drop from peak to valley is -32.5 days, which is higher, thus better 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:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 127 days of iShares Currency Hedged MSCI Australia ETF is lower, thus better.
  • Compared with SPY (139 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.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 28 days 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 (37 days)
  • Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 31 days is smaller, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal 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.