iShares Currency Hedged MSCI Switzerland ETF (HEWL)

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.'

• Compared with the benchmark SPY (107.8%) in the period of the last 5 years, the total return of 44% of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
• Compared with SPY (43.5%) in the period of the last 3 years, the total return, or performance of 32.3% is lower, thus worse.

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.'

• Compared with the benchmark SPY (15.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.1% of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 13.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (12.9%).

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.'

• Looking at the volatility of 22.4% in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.9%)
• Compared with SPY (18.4%) in the period of the last 3 years, the historical 30 days volatility of 23% 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.'

• The downside volatility over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 16.9%, which is greater, thus worse compared to the benchmark SPY (12.5%) in the same period.
• Compared with SPY (12.6%) in the period of the last 3 years, the downside deviation of 17.2% is greater, thus worse.

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 Sharpe Ratio of 0.43 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 (0.74)
• During the last 3 years, the Sharpe Ratio is 0.46, which is smaller, thus worse than the value of 0.56 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 0.57, which is smaller, thus worse compared to the benchmark SPY (1.07) in the same period.
• Looking at excess return divided by the downside deviation in of 0.62 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.82).

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.'

• Looking at the Ulcer Index of 6.4 in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.48 )
• Looking at Ulcer Index in of 6.62 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.54 ).

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.'

• Looking at the maximum reduction from previous high of -29.9 days 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 (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -29.9 days, which is lower, thus worse than the value of -18.8 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'

• Looking at the maximum days under water of 157 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 (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 128 days is lower, thus better.

AveDuration:

'The Average 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. 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 days under water over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 41 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 32 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (44 days).