iShares Currency Hedged MSCI Germany ETF (HEWG)

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 (88%) in the period of the last 5 years, the total return, or performance of -93.7% of iShares Currency Hedged MSCI Germany ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is -95%, which is smaller, thus worse than the value of 79.2% from the benchmark.

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 annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Germany ETF is -99.9%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Looking at annual return (CAGR) in of -100% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.6%).

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.'

• 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 (17.2%)
• Compared with SPY (15.4%) in the period of the last 3 years, the volatility of 241.9% is larger, thus worse.

DownVol:

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

• The downside risk over 5 years of iShares Currency Hedged MSCI Germany ETF is 160.9%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside volatility in of 240.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.3%).

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.'

• The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Germany ETF is -0.61, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• Looking at risk / return profile (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 (1.24).

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 -0.64 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 (0.93)
• Compared with SPY (1.85) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.43 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 Ulcer Index of 51 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 (8.46 )
• During the last 3 years, the Ulcer Index is 76 , which is greater, thus worse than the value of 3.38 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -95.2 days of iShares Currency Hedged MSCI Germany ETF is lower, thus worse.
• Looking at maximum drop from peak to valley in of -95.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 39 days of iShares Currency Hedged MSCI Germany ETF is smaller, thus better.
• 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 time in days below previous high water mark 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.
• Looking at average days under water in of 20 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18 days).