Description of iShares Currency Hedged MSCI Switzerland ETF

iShares Currency Hedged MSCI Switzerland ETF

Statistics of iShares Currency Hedged MSCI Switzerland ETF (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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of iShares Currency Hedged MSCI Switzerland ETF is %, which is lower, thus worse compared to the benchmark SPY (67.2%) in the same period.
  • During the last 3 years, the total return, or performance is 53.2%, which is higher, thus better than the value of 50.7% 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.'

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 Switzerland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.8%)
  • Compared with SPY (14.7%) in the period of the last 3 years, the annual return (CAGR) of 23.8% is larger, thus better.

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 (13.5%) in the period of the last 5 years, the 30 days standard deviation of % of iShares Currency Hedged MSCI Switzerland ETF is smaller, thus better.
  • During the last 3 years, the 30 days standard deviation is 14.3%, which is higher, thus worse than the value of 12.8% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • The downside deviation over 5 years of iShares Currency Hedged MSCI Switzerland ETF is %, which is smaller, thus better compared to the benchmark SPY (14.8%) in the same period.
  • Looking at downside volatility in of 17.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.7%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 1.49 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.95).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
  • Compared with SPY (0.83) in the period of the last 3 years, the excess return divided by the downside deviation of 1.22 is larger, thus better.

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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Index of 2.72 is smaller, thus better.

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.'

Which means for our asset as example:
  • Looking at the maximum DrawDown of days in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -11.3 days is larger, 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'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of days in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 82 days in the period of the last 3 years, we see it is relatively lower, thus better 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of iShares Currency Hedged MSCI Switzerland ETF is days, which is lower, thus better compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average days below previous high is 18 days, which is smaller, thus better than the value of 36 days from the benchmark.

Performance of iShares Currency Hedged MSCI Switzerland ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Currency Hedged MSCI Switzerland ETF
()

Allocations

Returns of iShares Currency Hedged MSCI Switzerland ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Switzerland 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.