Description of iShares Currency Hedged MSCI Canada ETF

iShares Currency Hedged MSCI Canada ETF

Statistics of iShares Currency Hedged MSCI Canada ETF (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of % 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 (67.3%)
  • Compared with SPY (46.1%) in the period of the last 3 years, the total return of 29.7% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:
  • The annual performance (CAGR) over 5 years of iShares Currency Hedged MSCI Canada ETF is %, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • Looking at annual performance (CAGR) in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.5%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of % 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 (13.2%)
  • Looking at historical 30 days volatility in of 9.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.4%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of % of iShares Currency Hedged MSCI Canada ETF is smaller, thus better.
  • During the last 3 years, the downside risk is 12%, which is lower, thus better than the value of 14% 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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of 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 (0.63)
  • Compared with SPY (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.68 is smaller, 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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of 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 (0.57)
  • Looking at excess return divided by the downside deviation in of 0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 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 (3.95 )
  • During the last 3 years, the Ulcer Ratio is 3.84 , which is smaller, thus worse than the value of 4 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of days of iShares Currency Hedged MSCI Canada ETF is higher, thus better.
  • Looking at maximum DrawDown in of -15.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 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'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 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 (187 days)
  • During the last 3 years, the maximum days below previous high is 169 days, which is larger, thus worse than the value of 131 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI Canada ETF is days, which is smaller, thus better compared to the benchmark SPY (39 days) in the same period.
  • Compared with SPY (33 days) in the period of the last 3 years, the average time in days below previous high water mark of 52 days is higher, thus worse.

Performance of iShares Currency Hedged MSCI Canada ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Currency Hedged MSCI Canada ETF
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Allocations

Returns of iShares Currency Hedged MSCI Canada ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Canada 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.