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.'

• The total return over 5 years of iShares Currency Hedged MSCI Spain is %, which is lower, thus worse compared to the benchmark SPY (77.6%) in the same period.
• Looking at total return, or increase in value in of 25.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (53.5%).

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 performance (CAGR) of % 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 (12.2%)
• Compared with SPY (15.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.3% is smaller, thus worse.

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 historical 30 days volatility over 5 years of iShares Currency Hedged MSCI Spain is %, which is smaller, thus better compared to the benchmark SPY (13.3%) in the same period.
• Looking at 30 days standard deviation in of 14.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark SPY (9.6%) in the period of the last 5 years, the downside volatility of % of iShares Currency Hedged MSCI Spain is lower, thus better.
• Looking at downside volatility in of 10.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (9.4%).

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 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 (0.73)
• Compared with SPY (0.99) in the period of the last 3 years, the Sharpe Ratio of 0.39 is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (1.01) in the period of the last 5 years, the downside risk / excess return profile of of iShares Currency Hedged MSCI Spain is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.56, which is lower, thus worse than the value of 1.37 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Ratio of in the last 5 years of iShares Currency Hedged MSCI Spain, we see it is relatively lower, thus better in comparison to the benchmark SPY (3.97 )
• Looking at Downside risk index in of 7.05 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.1 ).

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 (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of days of iShares Currency Hedged MSCI Spain is larger, thus better.
• Looking at maximum reduction from previous high in of -16.8 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 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) in days.'

• The maximum days below previous high over 5 years of iShares Currency Hedged MSCI Spain is days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 631 days is larger, thus worse.

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.'

• The average days under water over 5 years of iShares Currency Hedged MSCI Spain is days, which is lower, thus better compared to the benchmark SPY (42 days) in the same period.
• Looking at average days below previous high in of 287 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (37 days).