Description of iShares Currency Hedged MSCI Japan ETF

iShares Currency Hedged MSCI Japan ETF

Statistics of iShares Currency Hedged MSCI Japan ETF (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (66.1%) in the period of the last 5 years, the total return, or increase in value of 32.4% of iShares Currency Hedged MSCI Japan ETF is lower, thus worse.
  • Looking at total return, or increase in value in of 29.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.2%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 5.8% in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
  • During the last 3 years, the annual performance (CAGR) is 9.1%, which is smaller, thus worse than the value of 13.5% from the benchmark.

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 30 days standard deviation of 20.5% in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.4%)
  • Compared with SPY (12.3%) in the period of the last 3 years, the 30 days standard deviation of 15.6% is greater, thus worse.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside risk over 5 years of iShares Currency Hedged MSCI Japan ETF is 22.4%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Compared with SPY (13.9%) in the period of the last 3 years, the downside risk of 17.2% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 0.16 in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
  • Compared with SPY (0.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.42 is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.15 in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.8) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.38 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 12 in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.99 )
  • During the last 3 years, the Ulcer Index is 7.58 , which is higher, thus worse than the value of 4.04 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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of iShares Currency Hedged MSCI Japan ETF is -29.6 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -21.6 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 546 days of iShares Currency Hedged MSCI Japan ETF is greater, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 372 days is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 187 days in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 107 days is greater, thus worse.

Performance of iShares Currency Hedged MSCI Japan ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Currency Hedged MSCI Japan ETF
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Allocations

Returns of iShares Currency Hedged MSCI Japan ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Japan 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.