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.'

• Compared with the benchmark SPY (94.2%) in the period of the last 5 years, the total return of 48.1% of iShares Currency Hedged MSCI Canada ETF is smaller, thus worse.
• Compared with SPY (27.9%) in the period of the last 3 years, the total return, or performance of 30.5% is larger, thus better.

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.'

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the annual performance (CAGR) of 8.2% of iShares Currency Hedged MSCI Canada ETF is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 9.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (8.6%).

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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 17.8% of iShares Currency Hedged MSCI Canada ETF is smaller, thus better.
• During the last 3 years, the 30 days standard deviation is 12.9%, which is lower, thus better than the value of 17.3% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of iShares Currency Hedged MSCI Canada ETF is 13.1%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the downside deviation is 9.1%, which is lower, thus better than the value of 12.1% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of iShares Currency Hedged MSCI Canada ETF is 0.32, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.53, which is greater, thus better than the value of 0.35 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.'

• Looking at the excess return divided by the downside deviation of 0.44 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 (0.78)
• During the last 3 years, the excess return divided by the downside deviation is 0.75, which is larger, thus better than the value of 0.5 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.'

• The Ulcer Index over 5 years of iShares Currency Hedged MSCI Canada ETF is 7.07 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
• During the last 3 years, the Downside risk index is 5.98 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -34.9 days 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 (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -16.2 days is higher, thus better.

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.'

• Looking at the maximum days below previous high 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)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 408 days is lower, thus better.

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.'

• The average days under water over 5 years of iShares Currency Hedged MSCI Canada ETF is 102 days, which is smaller, thus better compared to the benchmark SPY (123 days) in the same period.
• Compared with SPY (180 days) in the period of the last 3 years, the average days under water of 131 days is smaller, thus better.