iShares Currency Hedged MSCI Canada ETF (HEWC)

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.'

• Looking at the total return, or performance of 48.1% in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (115.1%)
• During the last 3 years, the total return is 30.5%, which is smaller, thus worse than the value of 71.1% 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.'

• The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Canada ETF is 8.2%, which is smaller, thus worse compared to the benchmark SPY (16.6%) in the same period.
• Looking at annual return (CAGR) in of 9.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.7%).

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the historical 30 days volatility of 17.8% of iShares Currency Hedged MSCI Canada ETF is higher, thus worse.
• Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 12.9% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of iShares Currency Hedged MSCI Canada ETF is 13.1%, which is larger, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.5%) in the period of the last 3 years, the downside deviation of 9.1% is smaller, thus better.

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 Canada ETF is 0.32, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Compared with SPY (0.98) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.53 is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 0.44 in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.17)
• Looking at ratio of annual return and downside deviation in of 0.75 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.49).

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 Canada ETF is 7.07 , which is lower, thus better compared to the benchmark SPY (8.48 ) in the same period.
• During the last 3 years, the Ulcer Index is 5.98 , which is greater, thus worse than the value of 5.31 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -34.9 days of iShares Currency Hedged MSCI Canada ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -16.2 days is larger, thus better.

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 below previous high of 408 days of iShares Currency Hedged MSCI Canada ETF is smaller, thus better.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 408 days is greater, thus worse.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 102 days of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
• Looking at average time in days below previous high water mark in of 131 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (47 days).