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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or increase in value of % of iShares Currency Hedged MSCI Canada ETF is lower, thus worse.
  • During the last 3 years, the total return is 24.6%, which is lower, thus worse than the value of 47.2% 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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) 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 (10.9%)
  • Looking at compounded annual growth rate (CAGR) in of 7.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.8%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of % 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 (13.4%)
  • Looking at historical 30 days volatility in of 9.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.3%).

DownVol:

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

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of iShares Currency Hedged MSCI Canada ETF is %, which is smaller, thus better compared to the benchmark SPY (14.7%) in the same period.
  • Compared with SPY (13.9%) in the period of the last 3 years, the downside risk of 11.6% 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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Canada ETF is , which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.92).

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 lower, thus worse in comparison to the benchmark SPY (0.57)
  • Looking at excess return divided by the downside deviation in of 0.44 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.81).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:
  • The Downside risk index over 5 years of iShares Currency Hedged MSCI Canada ETF is , which is smaller, thus better compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 3.87 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.04 ).

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.'

Applying this definition to our asset in some examples:
  • 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 greater, thus better.
  • Looking at maximum reduction from previous high in of -15.9 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 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.'

Using this definition on our asset we see for 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)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 165 days is larger, thus worse.

AveDuration:

'The Average 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. 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 below previous high over 5 years of iShares Currency Hedged MSCI Canada ETF is days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
  • Looking at average time in days below previous high water mark in of 52 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

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.