iShares Currency Hedged MSCI Canada ETF (HEWC)

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.'

• Looking at the total return, or increase in value of 36.3% 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 (88%)
• Compared with SPY (39.5%) in the period of the last 3 years, the total return, or increase in value of 14.4% is lower, thus worse.

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 8.9%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of 5.2% is smaller, thus worse.

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 (18.8%) in the period of the last 5 years, the historical 30 days volatility of 20.2% of iShares Currency Hedged MSCI Canada ETF is greater, thus worse.
• Looking at historical 30 days volatility in of 21.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.3%).

DownVol:

'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.'

• Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside deviation of 14.8% of iShares Currency Hedged MSCI Canada ETF is higher, thus worse.
• During the last 3 years, the downside deviation is 15.7%, which is lower, thus better than the value of 16.5% from the benchmark.

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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.31 of iShares Currency Hedged MSCI Canada ETF is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.13, which is lower, thus worse than the value of 0.41 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI Canada ETF is 0.43, which is smaller, thus worse compared to the benchmark SPY (0.8) in the same period.
• Looking at excess return divided by the downside deviation in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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.'

• The Downside risk index over 5 years of iShares Currency Hedged MSCI Canada ETF is 6.96 , which is higher, thus worse compared to the benchmark SPY (5.79 ) in the same period.
• During the last 3 years, the Downside risk index is 7.92 , which is greater, thus worse than the value of 7.08 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.'

• Looking at the maximum drop from peak to valley of -34.9 days 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 (-33.7 days)
• Looking at maximum drop from peak to valley in of -34.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 152 days of iShares Currency Hedged MSCI Canada ETF is greater, thus worse.
• During the last 3 years, the maximum days under water is 152 days, which is larger, thus worse than the value of 139 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.'

• The average days below previous high over 5 years of iShares Currency Hedged MSCI Canada ETF is 46 days, which is greater, thus worse compared to the benchmark SPY (37 days) in the same period.
• Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 52 days is greater, thus worse.