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 (87.5%) in the period of the last 5 years, the total return, or performance of -93.7% of iShares Currency Hedged MSCI Germany ETF is lower, thus worse.
• During the last 3 years, the total return, or performance is -95%, which is lower, thus worse than the value of 84.8% 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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the annual return (CAGR) of -99.9% of iShares Currency Hedged MSCI Germany ETF is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is -100%, which is lower, thus worse than the value of 22.9% from the benchmark.

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.'

• 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 higher, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (15.1%) in the period of the last 3 years, the historical 30 days volatility of 241.9% is greater, thus worse.

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.'

• Looking at the downside risk 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 10.1% from the benchmark.

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 Sharpe Ratio of -0.61 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 (0.64)
• Compared with SPY (1.35) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.42 is lower, thus worse.

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 downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI Germany ETF is -0.64, which is smaller, thus worse compared to the benchmark SPY (0.93) in the same period.
• Looking at ratio of annual return and downside deviation in of -0.43 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.02).

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 51 of iShares Currency Hedged MSCI Germany ETF is higher, thus worse.
• Looking at Downside risk index in of 76 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.5 ).

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 DrawDown 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 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 39 days of iShares Currency Hedged MSCI Germany ETF is lower, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 12 days of iShares Currency Hedged MSCI Germany ETF is lower, thus better.
• During the last 3 years, the average days below previous high is 20 days, which is larger, thus worse than the value of 20 days from the benchmark.