Description

iShares Currency Hedged MSCI Italy ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Looking at the total return of % in the last 5 years of iShares Currency Hedged MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (59.2%)
  • Looking at total return, or performance in of -6.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.1%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of % in the last 5 years of iShares Currency Hedged MSCI Italy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (9.7%)
  • Compared with SPY (10%) in the period of the last 3 years, the annual performance (CAGR) of -2.4% is lower, 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.'

Applying this definition to our asset in some examples:
  • Looking at the volatility of % in the last 5 years of iShares Currency Hedged MSCI Italy ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (18.7%)
  • Compared with SPY (21.5%) in the period of the last 3 years, the historical 30 days volatility of 26.7% is higher, 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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of iShares Currency Hedged MSCI Italy ETF is %, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (15.7%) in the period of the last 3 years, the downside deviation of 21.1% is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of in the last 5 years of iShares Currency Hedged MSCI Italy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
  • Compared with SPY (0.35) in the period of the last 3 years, the Sharpe Ratio of -0.18 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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of in the last 5 years of iShares Currency Hedged MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.53)
  • During the last 3 years, the ratio of annual return and downside deviation is -0.23, which is lower, thus worse than the value of 0.48 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of iShares Currency Hedged MSCI Italy ETF is , which is lower, thus better compared to the benchmark SPY (5.79 ) in the same period.
  • Looking at Ulcer Index in of 12 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.83 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of iShares Currency Hedged MSCI Italy ETF is days, which is higher, thus better compared to the benchmark SPY (-33.7 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 (-33.7 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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of iShares Currency Hedged MSCI Italy ETF is days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 305 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of days of iShares Currency Hedged MSCI Italy ETF is lower, thus better.
  • During the last 3 years, the average days under water is 86 days, which is larger, thus worse than the value of 38 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Italy ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.