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 smaller, thus worse in comparison to the benchmark SPY (86.8%)
• Looking at total return, or increase in value in of 30.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (26.3%).

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 (13.3%) in the period of the last 5 years, the annual return (CAGR) of 8.2% of iShares Currency Hedged MSCI Canada ETF is smaller, thus worse.
• Looking at annual performance (CAGR) in of 9.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (8.1%).

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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 17.8% of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation 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.'

• Looking at the downside risk of 13.1% in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside risk is 9.1%, which is lower, thus better than the value of 12.1% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) of 0.32 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 (0.52)
• Looking at Sharpe Ratio in of 0.53 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.32).

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.'

• Looking at the downside risk / excess return profile of 0.44 in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.72)
• During the last 3 years, the excess return divided by the downside deviation is 0.75, which is higher, thus better than the value of 0.46 from the benchmark.

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 7.07 in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.33 )
• During the last 3 years, the Downside risk index is 5.98 , which is lower, thus better than the value of 10 from the benchmark.

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 reduction from previous high over 5 years of iShares Currency Hedged MSCI Canada ETF is -34.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -16.2 days is greater, 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.'

• The maximum days below previous high over 5 years of iShares Currency Hedged MSCI Canada ETF is 408 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 408 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

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 time in days below previous high water mark of 102 days in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
• Looking at average days under water in of 131 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (178 days).