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.'

• The total return, or increase in value over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 44%, which is lower, thus worse compared to the benchmark SPY (62.7%) in the same period.
• Compared with SPY (34.7%) in the period of the last 3 years, the total return, or increase in value 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.'

• 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 higher, thus better in comparison to the benchmark SPY (10.2%)
• Compared with SPY (10.5%) in the period of the last 3 years, the annual return (CAGR) of 13.2% is greater, thus better.

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.'

• The 30 days standard deviation over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 22.4%, which is higher, 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 smaller, thus better than the value of 24.1% from the benchmark.

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.'

• Looking at the downside deviation of 16.9% 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 (15.3%)
• Looking at downside risk in of 17.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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 greater, thus better in comparison to the benchmark SPY (0.37)
• Looking at Sharpe Ratio in of 0.46 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.33).

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 greater, thus better compared to the benchmark SPY (0.51) 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 greater, thus better in comparison to SPY (0.45).

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 lower, thus better in comparison to the benchmark SPY (7.71 )
• During the last 3 years, the Ulcer Ratio is 6.62 , which is lower, thus better than the value of 9.08 from the benchmark.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -29.9 days of iShares Currency Hedged MSCI Switzerland ETF is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -29.9 days, which is greater, thus better than the value of -33.7 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'

• The maximum days below previous high over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 157 days, which is smaller, thus better compared to the benchmark SPY (189 days) in the same period.
• During the last 3 years, the maximum days under water is 128 days, which is lower, thus better than the value of 189 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 (46 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.
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 32 days is lower, thus better.