iShares Currency Hedged MSCI Germany ETF (HEWG)

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.'

• The total return over 5 years of iShares Currency Hedged MSCI Germany ETF is 12%, which is smaller, thus worse compared to the benchmark SPY (143%) in the same period.
• Compared with SPY (39%) in the period of the last 3 years, the total return, or increase in value of -8.9% 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 Germany ETF is 49.4%, which is higher, thus better compared to the benchmark SPY (19.5%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual performance (CAGR) of -71% is lower, thus worse.

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 (19.6%) in the period of the last 5 years, the historical 30 days volatility of 74.9% of iShares Currency Hedged MSCI Germany ETF is greater, thus worse.
• Looking at 30 days standard deviation in of 117.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.1%).

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.'

• The downside deviation over 5 years of iShares Currency Hedged MSCI Germany ETF is 53.7%, which is higher, thus worse compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the downside deviation is 89.2%, which is larger, thus worse than the value of 12% 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 Germany ETF is 0.63, which is smaller, thus worse compared to the benchmark SPY (0.87) in the same period.
• Compared with SPY (0.54) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.63 is lower, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.87 in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.26)
• Compared with SPY (0.77) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.82 is lower, thus worse.

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.'

• Looking at the Downside risk index of 9.17 in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.32 )
• During the last 3 years, the Downside risk index is 16 , which is greater, thus worse than the value of 8.6 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -26.3 days of iShares Currency Hedged MSCI Germany ETF is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -26.3 days, which is smaller, thus worse than the value of -22.1 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). 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 14 days of iShares Currency Hedged MSCI Germany ETF is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 14 days, which is lower, thus better than the value of 325 days from the benchmark.

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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days under water of 4 days of iShares Currency Hedged MSCI Germany ETF is lower, thus better.
• Compared with SPY (90 days) in the period of the last 3 years, the average time in days below previous high water mark of 6 days is lower, thus better.