BTC iShares Currency Hedged MSCI Italy ETF (HEWI)

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.'

• Compared with the benchmark SPY (143%) in the period of the last 5 years, the total return, or increase in value of -3.5% of BTC iShares Currency Hedged MSCI Italy ETF is lower, thus worse.
• Compared with SPY (39%) in the period of the last 3 years, the total return, or performance of 2.9% 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.'

• Looking at the annual performance (CAGR) of -0.8% in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (19.5%)
• Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of 1.1% is smaller, thus worse.

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.'

• The volatility over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is 26.7%, which is larger, thus worse compared to the benchmark SPY (19.6%) in the same period.
• Looking at 30 days standard deviation in of 27.1% in the period of the last 3 years, we see it is relatively greater, 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 BTC iShares Currency Hedged MSCI Italy ETF is 20.6%, which is greater, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Looking at downside risk in of 21.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12%).

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.'

• Looking at the Sharpe Ratio of -0.12 in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.87)
• Looking at risk / return profile (Sharpe) in of -0.05 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.54).

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 ratio of annual return and downside deviation of -0.16 in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.26)
• Looking at downside risk / excess return profile in of -0.07 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.77).

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 17 in the last 5 years of BTC iShares Currency Hedged MSCI Italy 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 14 , 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.'

• The maximum reduction from previous high over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is -42.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -42.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-22.1 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.'

• Looking at the maximum days below previous high of 543 days in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 305 days, which is smaller, thus better than the value of 325 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 (118 days) in the period of the last 5 years, the average days under water of 181 days of BTC iShares Currency Hedged MSCI Italy ETF is larger, thus worse.
• Compared with SPY (90 days) in the period of the last 3 years, the average days below previous high of 93 days is greater, thus worse.