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.'

• Compared with the benchmark SPY (84.9%) in the period of the last 5 years, the total return, or performance of -8.8% of iShares Currency Hedged MSCI Spain is lower, thus worse.
• Looking at total return in of -15% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (80.2%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Spain is -1.9%, which is lower, thus worse compared to the benchmark SPY (13.1%) 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 (21.8%).

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 (17.1%) in the period of the last 5 years, the 30 days standard deviation of 24.5% of iShares Currency Hedged MSCI Spain is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 25.6%, which is higher, thus worse than the value of 15.2% 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 risk of 18.8% of iShares Currency Hedged MSCI Spain is larger, thus worse.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 19.9% is higher, thus worse.

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.'

• Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of -0.18 of iShares Currency Hedged MSCI Spain is lower, thus worse.
• Compared with SPY (1.27) in the period of the last 3 years, the Sharpe Ratio of -0.32 is lower, thus worse.

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 (0.9) in the same period.
• Compared with SPY (1.91) in the period of the last 3 years, the downside risk / excess return profile of -0.41 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Ulcer Ratio of 13 of iShares Currency Hedged MSCI Spain is greater, thus worse.
• Compared with SPY (3.5 ) in the period of the last 3 years, the Downside risk index of 13 is greater, thus worse.

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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -40.1 days of iShares Currency Hedged MSCI Spain is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -40.1 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) in days.'

• Compared with the benchmark SPY (488 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 larger, 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 (87 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 days below previous high over 5 years of iShares Currency Hedged MSCI Spain is 230 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days under water in of 149 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).