iShares Currency Hedged MSCI Germany ETF (HEWG)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 12% in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (113.2%)
• Looking at total return, or increase in value in of -8.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (67.5%).

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 (16.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 49.4% of iShares Currency Hedged MSCI Germany ETF is greater, thus better.
• Looking at annual return (CAGR) in of -71% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.9%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 74.9% in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.5%)
• During the last 3 years, the volatility is 117.1%, which is greater, thus worse than the value of 17.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside risk of 53.7% 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 (12.1%)
• During the last 3 years, the downside volatility is 89.2%, which is larger, thus worse than the value of 11.6% 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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the Sharpe Ratio of 0.63 of iShares Currency Hedged MSCI Germany ETF is smaller, thus worse.
• Looking at Sharpe Ratio in of -0.63 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.94).

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 0.87 in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.15)
• During the last 3 years, the downside risk / excess return profile is -0.82, which is lower, thus worse than the value of 1.42 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.'

• Looking at the Ulcer Index of 9.17 in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Ulcer Index in of 16 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.31 ).

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.'

• 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 smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -26.3 days, which is lower, thus worse than the value of -18.8 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) in days.'

• Looking at the maximum time in days below previous high water mark of 14 days in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 14 days, which is smaller, thus better than the value of 199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 4 days of iShares Currency Hedged MSCI Germany ETF is lower, thus better.
• During the last 3 years, the average days under water is 6 days, which is lower, thus better than the value of 47 days from the benchmark.