iShares Currency Hedged MSCI Canada ETF (HEWC)

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.'

• Compared with the benchmark SPY (60.6%) in the period of the last 5 years, the total return of 44.7% of iShares Currency Hedged MSCI Canada ETF is lower, thus worse.
• Looking at total return, or increase in value in of 38.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (38%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 7.7% 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%)
• Compared with SPY (11.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.4% is higher, thus better.

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 (21.5%) in the period of the last 5 years, the volatility of 17.9% of iShares Currency Hedged MSCI Canada ETF is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 13.2%, which is smaller, thus better than the value of 17.9% 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 deviation over 5 years of iShares Currency Hedged MSCI Canada ETF is 13.1%, which is lower, thus better compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 9.2% is smaller, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of 0.29 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 (0.35)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.68, which is higher, thus better than the value of 0.49 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of iShares Currency Hedged MSCI Canada ETF is 0.4, which is smaller, thus worse compared to the benchmark SPY (0.48) in the same period.
• Compared with SPY (0.71) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.97 is larger, thus better.

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.'

• Looking at the Ulcer Ratio of 7.19 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 (9.55 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 5.8 is smaller, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• 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 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). 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'

• The maximum time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI Canada ETF is 377 days, which is lower, thus better compared to the benchmark SPY (431 days) in the same period.
• Compared with SPY (431 days) in the period of the last 3 years, the maximum days below previous high of 377 days is smaller, 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 93 days, which is lower, thus better compared to the benchmark SPY (105 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 113 days, which is lower, thus better than the value of 144 days from the benchmark.