Description

The investment seeks to track the investment results of the MSCI Switzerland 25/50 100% Hedged to USD Index. The fund generally will invest at least 90% of its assets in the component securities (including indirect investments through the underlying fund) and other instruments of the underlying index and in investments that have economic characteristics that are substantially identical to the component securities of the underlying index. The index primarily consists of stocks traded on the Zurich Stock Exchange with the currency risk inherent in the securities included in the underlying index hedged to the U.S. dollar on a monthly basis.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • 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 (100.7%) in the same period.
  • During the last 3 years, the total return, or increase in value is 32.3%, which is lower, thus worse than the value of 33.2% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the annual return (CAGR) of 12.1% of iShares Currency Hedged MSCI Switzerland ETF is lower, thus worse.
  • Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of 13.2% is greater, thus better.

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.'

Which means for our asset as example:
  • 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 (20.9%)
  • Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 23% is higher, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • 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 deviation in of 17.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12%).

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.'

Which means for our asset as example:
  • 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 lower, thus worse in comparison to the benchmark SPY (0.6)
  • During the last 3 years, the risk / return profile (Sharpe) is 0.46, which is larger, thus better than the value of 0.44 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 0.57, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.62, which is higher, thus better than the value of 0.62 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.'

Using this definition on our asset we see for example:
  • 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 (9.32 )
  • Looking at Downside risk index in of 6.62 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 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 greater, thus better.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -29.9 days is lower, thus worse.

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'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 157 days of iShares Currency Hedged MSCI Switzerland ETF is smaller, thus better.
  • 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 smaller, thus better in comparison to SPY (488 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.'

Which means for our asset as example:
  • The average days under water over 5 years of iShares Currency Hedged MSCI Switzerland ETF is 41 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
  • 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.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Switzerland ETF are hypothetical and do not account for slippage, fees or taxes.