BTC iShares Currency Hedged MSCI Italy ETF (HEWI)

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 (100.4%) 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.
• During the last 3 years, the total return, or performance is 2.9%, which is lower, thus worse than the value of 87.5% from the benchmark.

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 (15%) in the period of the last 5 years, the annual return (CAGR) of -0.8% of BTC iShares Currency Hedged MSCI Italy ETF is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 1.1%, which is smaller, thus worse than the value of 23.4% 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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 26.7% of BTC iShares Currency Hedged MSCI Italy ETF is greater, thus worse.
• Looking at volatility in of 27.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.4%).

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside risk of 20.6% of BTC iShares Currency Hedged MSCI Italy ETF is higher, thus worse.
• During the last 3 years, the downside risk is 21.3%, which is higher, thus worse than the value of 10.2% 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.'

• 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 smaller, thus worse in comparison to the benchmark SPY (0.73)
• Looking at ratio of return and volatility (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 (1.36).

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.'

• The excess return divided by the downside deviation over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is -0.16, which is smaller, thus worse compared to the benchmark SPY (1.06) in the same period.
• Compared with SPY (2.05) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.07 is lower, thus worse.

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.'

• The Downside risk index over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is 17 , which is higher, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Ratio in of 14 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.51 ).

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.'

• Looking at the maximum drop from peak to valley of -42.9 days 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 (-24.5 days)
• Looking at maximum reduction from previous high 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 (-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.'

• Looking at the maximum days under water of 543 days in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 305 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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 BTC iShares Currency Hedged MSCI Italy ETF is 181 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average time in days below previous high water mark in of 93 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).