iShares Currency Hedged MSCI Spain (HEWP)

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.'

• The total return over 5 years of iShares Currency Hedged MSCI Spain is -12.2%, which is lower, thus worse compared to the benchmark SPY (88%) in the same period.
• Looking at total return, or performance in of -15% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (39.5%).

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.'

• Looking at the annual return (CAGR) of -2.7% in the last 5 years of iShares Currency Hedged MSCI Spain, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.5%)
• Looking at compounded annual growth rate (CAGR) in of -5.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.7%).

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.'

• Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the historical 30 days volatility of 24.6% of iShares Currency Hedged MSCI Spain is larger, thus worse.
• Compared with SPY (22.3%) in the period of the last 3 years, the volatility of 25.6% is higher, thus worse.

DownVol:

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

• The downside risk over 5 years of iShares Currency Hedged MSCI Spain is 18.9%, which is higher, thus worse compared to the benchmark SPY (13.7%) in the same period.
• Looking at downside volatility in of 19.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.5%).

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.'

• Looking at the risk / return profile (Sharpe) of -0.21 in the last 5 years of iShares Currency Hedged MSCI Spain, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.58)
• Looking at ratio of return and volatility (Sharpe) in of -0.32 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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 Spain is -0.27, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Looking at excess return divided by the downside deviation in of -0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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 14 in the last 5 years of iShares Currency Hedged MSCI Spain, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.79 )
• During the last 3 years, the Ulcer Ratio is 13 , which is larger, thus worse than the value of 7.08 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.'

• The maximum reduction from previous high over 5 years of iShares Currency Hedged MSCI Spain is -40.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -40.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 610 days of iShares Currency Hedged MSCI Spain is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 426 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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.'

• The average time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI Spain is 233 days, which is larger, thus worse compared to the benchmark SPY (37 days) in the same period.
• Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 149 days is larger, thus worse.