iShares Currency Hedged MSCI Japan ETF (HEWJ)

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.'

• Looking at the total return, or performance of 58.9% 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 (60.6%)
• During the last 3 years, the total return, or performance is 64.4%, which is greater, thus better than the value of 38% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 9.7% 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%)
• Looking at annual return (CAGR) in of 18.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (11.3%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of 20.4% of iShares Currency Hedged MSCI Japan ETF is lower, thus better.
• Compared with SPY (17.9%) in the period of the last 3 years, the volatility of 16.5% is smaller, thus better.

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 (15.5%) in the period of the last 5 years, the downside deviation of 14.5% of iShares Currency Hedged MSCI Japan ETF is smaller, thus better.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 11.2% is smaller, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 0.35 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 (0.35)
• Looking at Sharpe Ratio in of 0.94 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.49).

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.'

• Compared with the benchmark SPY (0.48) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.5 of iShares Currency Hedged MSCI Japan ETF is larger, thus better.
• Compared with SPY (0.71) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.39 is higher, thus better.

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 Ulcer Index over 5 years of iShares Currency Hedged MSCI Japan ETF is 8.05 , which is lower, thus better compared to the benchmark SPY (9.55 ) in the same period.
• During the last 3 years, the Downside risk index is 4.69 , which is lower, thus better than the value of 10 from the benchmark.

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.'

• The maximum DrawDown over 5 years of iShares Currency Hedged MSCI Japan ETF is -31.5 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -16 days is higher, thus better.

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'

• Looking at the maximum time in days below previous high water mark of 303 days in the last 5 years of iShares Currency Hedged MSCI Japan ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (431 days)
• Compared with SPY (431 days) in the period of the last 3 years, the maximum days below previous high of 303 days is smaller, thus better.

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 iShares Currency Hedged MSCI Japan ETF is 101 days, which is lower, thus better compared to the benchmark SPY (105 days) in the same period.
• Compared with SPY (144 days) in the period of the last 3 years, the average time in days below previous high water mark of 81 days is lower, thus better.