iShares Currency Hedged MSCI Spain (HEWP)

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.'

• Compared with the benchmark SPY (80.4%) in the period of the last 5 years, the total return, or increase in value of -8.8% of iShares Currency Hedged MSCI Spain is lower, thus worse.
• 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 (30.7%).

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 compounded annual growth rate (CAGR) over 5 years of iShares Currency Hedged MSCI Spain is -1.9%, which is smaller, thus worse compared to the benchmark SPY (12.6%) in the same period.
• Looking at annual return (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 (9.4%).

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.'

• Compared with the benchmark SPY (21.3%) in the period of the last 5 years, the volatility of 24.5% of iShares Currency Hedged MSCI Spain is greater, thus worse.
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 25.6% is greater, thus worse.

DownVol:

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

• Looking at the downside risk of 18.8% 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 (15.3%)
• Looking at downside volatility in of 19.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares Currency Hedged MSCI Spain is -0.18, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.32, which is lower, thus worse than the value of 0.39 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.'

• The excess return divided by the downside deviation over 5 years of iShares Currency Hedged MSCI Spain is -0.23, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• Compared with SPY (0.56) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.41 is lower, thus worse.

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.'

• Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Ratio of 13 of iShares Currency Hedged MSCI Spain is greater, thus worse.
• During the last 3 years, the Ulcer Ratio is 13 , which is larger, thus worse 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -40.1 days of iShares Currency Hedged MSCI Spain is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -40.1 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) in days.'

• Looking at the maximum time in days below previous high water mark of 610 days 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 (479 days)
• Compared with SPY (479 days) in the period of the last 3 years, the maximum days below previous high of 426 days is lower, thus better.

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 below previous high of 230 days in the last 5 years of iShares Currency Hedged MSCI Spain, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (173 days) in the period of the last 3 years, the average days below previous high of 149 days is lower, thus better.