iShares Currency Hedged MSCI Switzerland ETF (HEWL)

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.'

• Looking at the total return, or performance of 44% in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (98.7%)
• During the last 3 years, the total return, or increase in value is 32.3%, which is smaller, thus worse than the value of 73.7% 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.'

• Looking at the compounded annual growth rate (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 (14.8%)
• Compared with SPY (20.3%) in the period of the last 3 years, the annual return (CAGR) of 13.2% is smaller, thus worse.

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 historical 30 days volatility of 22.4% in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (15.7%) in the period of the last 3 years, the 30 days standard deviation of 23% is higher, 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.'

• The downside deviation over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 16.9%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the downside volatility of 17.2% is greater, 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.'

• The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 0.43, which is lower, thus worse compared to the benchmark SPY (0.72) in the same period.
• Compared with SPY (1.14) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.46 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 0.57, which is lower, thus worse compared to the benchmark SPY (1.05) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.62, which is smaller, thus worse than the value of 1.71 from the benchmark.

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.'

• 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 (8.42 )
• 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 (3.62 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -29.9 days of iShares Currency Hedged MSCI Switzerland ETF is smaller, thus worse.
• During the last 3 years, the maximum DrawDown 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 157 days of iShares Currency Hedged MSCI Switzerland ETF is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 128 days, which is larger, thus worse than the value of 87 days from the benchmark.

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.'

• Looking at the average days below previous high of 41 days 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 (120 days)
• Looking at average days below previous high in of 32 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).