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 (97.2%) in the period of the last 5 years, the total return, or performance of 44% of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
• Compared with SPY (80.6%) in the period of the last 3 years, the total return, or increase in value of 32.3% is lower, thus worse.

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.'

• Looking at the annual performance (CAGR) of 12.1% 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 (14.6%)
• Compared with SPY (21.8%) in the period of the last 3 years, the annual return (CAGR) of 13.2% is smaller, thus worse.

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.'

• The 30 days standard deviation over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 22.4%, which is greater, thus worse compared to the benchmark SPY (17.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 23%, which is greater, thus worse than the value of 15.2% from the benchmark.

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 16.9% of iShares Currency Hedged MSCI Switzerland ETF is higher, thus worse.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 17.2% is higher, 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.'

• Compared with the benchmark SPY (0.71) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.43 of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.46 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.27).

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 (1.03) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.57 of iShares Currency Hedged MSCI Switzerland ETF is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.62, which is lower, thus worse than the value of 1.9 from the benchmark.

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 Switzerland ETF is 6.4 , which is smaller, thus better compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Ulcer Index of 6.62 is greater, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of iShares Currency Hedged MSCI Switzerland ETF is -29.9 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -29.9 days is lower, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 157 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 128 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 days).

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 time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 41 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (21 days) in the period of the last 3 years, the average days below previous high of 32 days is larger, thus worse.