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 (86.3%) in the period of the last 5 years, the total return, or performance of 44% of iShares Currency Hedged MSCI Switzerland ETF is smaller, thus worse.
• Looking at total return, or performance in of 32.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (79.8%).

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 performance (CAGR) over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 12.1%, which is lower, thus worse compared to the benchmark SPY (13.3%) 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 lower, thus worse in comparison to SPY (21.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 22.4%, which is higher, thus worse compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the volatility is 23%, which is greater, thus worse than the value of 15.4% 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 (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 (10.3%) in the period of the last 3 years, the downside risk of 17.2% is greater, thus worse.

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 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 (0.63) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.46, which is lower, thus worse than the value of 1.25 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.'

• Compared with the benchmark SPY (0.91) in the period of the last 5 years, the excess return divided by the downside deviation of 0.57 of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.62, which is lower, thus worse than the value of 1.86 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.'

• Looking at the Downside risk 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 (8.45 )
• Compared with SPY (3.37 ) in the period of the last 3 years, the Downside risk index of 6.62 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown 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). 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 under water over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 157 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 128 days, which is greater, 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 under water of 41 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 (119 days)
• Compared with SPY (18 days) in the period of the last 3 years, the average time in days below previous high water mark of 32 days is greater, thus worse.