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.'

• Looking at the total return of -8.8% 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 (114.3%)
• During the last 3 years, the total return is -15%, which is smaller, thus worse than the value of 62.3% 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.'

• Compared with the benchmark SPY (16.5%) in the period of the last 5 years, the annual return (CAGR) of -1.9% of iShares Currency Hedged MSCI Spain is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is -5.7%, which is lower, thus worse than the value of 17.6% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of iShares Currency Hedged MSCI Spain is 24.5%, which is greater, thus worse compared to the benchmark SPY (17.6%) in the same period.
• During the last 3 years, the volatility is 25.6%, which is higher, thus worse than the value of 17.5% 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 (12.1%) in the period of the last 5 years, the downside deviation of 18.8% of iShares Currency Hedged MSCI Spain is greater, thus worse.
• Looking at downside risk in of 19.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.6%).

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.'

• The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Spain is -0.18, which is smaller, thus worse compared to the benchmark SPY (0.8) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.32 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.86).

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 ratio of annual return and downside deviation over 5 years of iShares Currency Hedged MSCI Spain is -0.23, which is smaller, thus worse compared to the benchmark SPY (1.16) in the same period.
• Compared with SPY (1.3) 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.'

• Looking at the Ulcer Index of 13 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 (8.48 )
• Compared with SPY (5.32 ) in the period of the last 3 years, the Downside risk index of 13 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -40.1 days 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 (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.1 days is smaller, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of iShares Currency Hedged MSCI Spain is 610 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 426 days, which is larger, thus worse than the value of 199 days from the benchmark.

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 under water over 5 years of iShares Currency Hedged MSCI Spain is 230 days, which is greater, thus worse compared to the benchmark SPY (120 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 (47 days).