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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (112.6%) in the period of the last 5 years, the total return, or increase in value of 48.1% of iShares Currency Hedged MSCI Canada ETF is lower, thus worse.
  • During the last 3 years, the total return, or performance is 30.5%, which is smaller, thus worse than the value of 56.3% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 8.2% 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 (16.3%)
  • Compared with SPY (16.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.3% is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of iShares Currency Hedged MSCI Canada ETF is 17.8%, which is lower, thus better compared to the benchmark SPY (17.9%) in the same period.
  • Compared with SPY (18.2%) in the period of the last 3 years, the historical 30 days volatility of 12.9% is lower, thus better.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 13.1% in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.4%)
  • Looking at downside risk in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.2%).

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:
  • 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 (0.77) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.53 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.75).

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 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 (1.11)
  • During the last 3 years, the excess return divided by the downside deviation is 0.75, which is lower, thus worse than the value of 1.12 from the benchmark.

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:
  • The Downside risk index over 5 years of iShares Currency Hedged MSCI Canada ETF is 7.07 , which is smaller, thus better compared to the benchmark SPY (8.49 ) in the same period.
  • During the last 3 years, the Ulcer Index is 5.98 , which is larger, thus worse than the value of 5.54 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:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -34.9 days of iShares Currency Hedged MSCI Canada ETF is smaller, thus worse.
  • During the last 3 years, the maximum drop from peak to valley is -16.2 days, which is larger, thus better than the value of -18.8 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) in days.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 408 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 (488 days)
  • During the last 3 years, the maximum days under water is 408 days, which is greater, thus worse than the value of 199 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:
  • Looking at the average days below previous high of 102 days 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 (119 days)
  • During the last 3 years, the average days below previous high is 131 days, which is larger, thus worse than the value of 45 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 and do not account for slippage, fees or taxes.