Description

The investment seeks to track the investment results of the MSCI Canada 100% Hedged to USD Index. The fund generally will invest at least 90% of its assets in the component securities (including indirect investments through the underlying fund) and other instruments of the underlying index and in investments that have economic characteristics that are substantially identical to the component securities of the underlying index. The index primarily consists of stocks traded on the Toronto Stock Exchange with the currency risk inherent in the securities included in the underlying index hedged to the U.S. dollar on a monthly basis.

Statistics (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • The total return, or performance over 5 years of iShares Currency Hedged MSCI Canada ETF is 56%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
  • During the last 3 years, the total return is 33.3%, which is lower, thus worse than the value of 33.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the compounded annual growth rate (CAGR) of 9.8% 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 (10.3%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 10%, which is lower, thus worse than the value of 10.1% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the volatility of 18.2% of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
  • During the last 3 years, the 30 days standard deviation is 21.3%, which is smaller, thus better than the value of 25.1% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside deviation of 13.3% of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
  • Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 15.7% is smaller, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of return and volatility (Sharpe) of 0.4 in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.36)
  • Compared with SPY (0.3) in the period of the last 3 years, the Sharpe Ratio of 0.35 is greater, thus better.

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.'

Which means for our asset as example:
  • Looking at the excess return divided by the downside deviation of 0.55 in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.5)
  • Compared with SPY (0.42) in the period of the last 3 years, the downside risk / excess return profile of 0.48 is larger, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Index of 7.27 of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
  • During the last 3 years, the Ulcer Ratio is 8.54 , which is lower, thus better than the value of 11 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.'

Which means for our asset as example:
  • The maximum drop from peak to valley 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.
  • During the last 3 years, the maximum drop from peak to valley is -34.9 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days below previous high of 219 days of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
  • During the last 3 years, the maximum days under water is 219 days, which is smaller, thus better than the value of 273 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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of iShares Currency Hedged MSCI Canada ETF is 60 days, which is greater, thus worse compared to the benchmark SPY (57 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 69 days, which is smaller, thus better than the value of 73 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal 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.