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.'

• The total return, or performance over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 44%, which is smaller, thus worse compared to the benchmark SPY (94.2%) in the same period.
• Compared with SPY (27.9%) in the period of the last 3 years, the total return of 32.3% is larger, thus better.

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.'

• The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 12.1%, which is smaller, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Looking at annual return (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 (8.6%).

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 historical 30 days volatility over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 22.4%, which is greater, thus worse compared to the benchmark SPY (20.9%) 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 17.3% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 16.9% of iShares Currency Hedged MSCI Switzerland ETF is larger, thus worse.
• Looking at downside risk in of 17.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The Sharpe Ratio over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 0.43, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• Looking at Sharpe Ratio in of 0.46 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.35).

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 (0.78) in the same period.
• Looking at downside risk / excess return profile in of 0.62 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.5).

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 (9.32 )
• During the last 3 years, the Downside risk index is 6.62 , which is lower, thus better than the value of 10 from the benchmark.

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.'

• Looking at the maximum DrawDown of -29.9 days in the last 5 years of iShares Currency Hedged MSCI Switzerland ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -29.9 days, which is lower, thus worse than the value of -24.5 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 time in days below previous high water mark 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)
• During the last 3 years, the maximum days below previous high is 128 days, which is lower, thus better than the value of 488 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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days under water of 41 days of iShares Currency Hedged MSCI Switzerland ETF is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 32 days, which is lower, thus better than the value of 180 days from the benchmark.