Description

The investment seeks to track the investment results of the MSCI Japan 100% Hedged to USD Index. The fund generally will invest at least 90% of its assets in the component securities (including indirect investments through the underlying fund) and other instruments of the underlying index and in investments that have economic characteristics that are substantially identical to the component securities of the underlying index. The index primarily consists of stocks traded on the Tokyo Stock Exchange with the currency risk inherent in the securities included in the underlying index hedged to the U.S. dollar on a monthly basis.

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 121.5% in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (107.6%)
  • During the last 3 years, the total return is 75.4%, which is larger, thus better than the value of 68.6% 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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of iShares Currency Hedged MSCI Japan ETF is 17.3%, which is larger, thus better compared to the benchmark SPY (15.8%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 20.8%, which is higher, thus better than the value of 19.1% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 18.4% of iShares Currency Hedged MSCI Japan ETF is higher, thus worse.
  • Compared with SPY (17.4%) in the period of the last 3 years, the 30 days standard deviation of 19.3% is larger, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 12.8% 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 (12.1%)
  • During the last 3 years, the downside risk is 13.5%, which is larger, thus worse than the value of 11.5% 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.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.8 in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.76)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.95, which is larger, thus better than the value of 0.95 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 1.15 in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (1.1)
  • Compared with SPY (1.44) in the period of the last 3 years, the downside risk / excess return profile of 1.35 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Downside risk index of 5.22 in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.48 )
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 5.23 is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of iShares Currency Hedged MSCI Japan ETF is -20.9 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum drop from peak to valley in of -20.9 days in the period of the last 3 years, we see it is relatively lower, 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). 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:
  • The maximum days under water over 5 years of iShares Currency Hedged MSCI Japan ETF is 303 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 241 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.'

Which means for our asset as example:
  • The average days under water over 5 years of iShares Currency Hedged MSCI Japan ETF is 77 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
  • Compared with SPY (47 days) in the period of the last 3 years, the average time in days below previous high water mark of 55 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Japan ETF are hypothetical and do not account for slippage, fees or taxes.