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.'

• Compared with the benchmark SPY (79.7%) in the period of the last 5 years, the total return of -93.7% of iShares Currency Hedged MSCI Germany ETF is lower, thus worse.
• Compared with SPY (68.9%) in the period of the last 3 years, the total return, or performance of -95% is smaller, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of iShares Currency Hedged MSCI Germany ETF is -99.9%, which is lower, thus worse compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is -100%, which is smaller, thus worse than the value of 19.2% from the benchmark.

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 166.7% 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 (17.1%)
• Looking at historical 30 days volatility in of 241.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.3%).

DownVol:

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

• Looking at the downside volatility of 160.9% 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 (11.8%)
• During the last 3 years, the downside deviation is 240.9%, which is greater, thus worse than the value of 10.3% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of -0.61 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 (0.58)
• Looking at ratio of return and volatility (Sharpe) in of -0.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.09).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares Currency Hedged MSCI Germany ETF is -0.64, which is smaller, thus worse compared to the benchmark SPY (0.84) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.43, which is smaller, thus worse than the value of 1.62 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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Ulcer Index of 51 of iShares Currency Hedged MSCI Germany ETF is larger, thus worse.
• Looking at Ulcer Index in of 76 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.52 ).

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 reduction from previous high of -95.2 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 -95.2 days, which is smaller, 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 days under water of 39 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)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 39 days is lower, thus better.

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.'

• The average days below previous high over 5 years of iShares Currency Hedged MSCI Germany ETF is 12 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 20 days, which is lower, thus better than the value of 21 days from the benchmark.