Description

The investment seeks to track the investment results of the MSCI Spain 25/50 100% Hedged to USD Index (the underlying index). The fund generally will invest at least 90% of its assets in the component securities (including indirect investments through the underlying fund) and other instruments of the underlying index and in investments that have economic characteristics that are substantially identical to the component securities of the underlying index. The index primarily consists of stocks traded on the Madrid Stock Exchange with the currency risk inherent in the securities included in the underlying index hedged to the U.S. dollar on a monthly basis.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of iShares Currency Hedged MSCI Spain is -8.8%, which is lower, thus worse compared to the benchmark SPY (133.2%) in the same period.
  • Looking at total return, or increase in value in of -15% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (80.4%).

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.'

Applying this definition to our asset in some examples:
  • The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI Spain is -1.9%, which is smaller, thus worse compared to the benchmark SPY (18.5%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is -5.7%, which is smaller, thus worse than the value of 21.8% 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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of iShares Currency Hedged MSCI Spain is 24.5%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
  • Compared with SPY (22.4%) in the period of the last 3 years, the 30 days standard deviation 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.'

Which means for our asset as example:
  • 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 (13.6%)
  • During the last 3 years, the downside risk is 19.9%, which is higher, thus worse than the value of 16.2% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Spain is -0.18, which is lower, thus worse compared to the benchmark SPY (0.85) in the same period.
  • Compared with SPY (0.86) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.32 is lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of -0.23 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 (1.18)
  • Looking at downside risk / excess return profile in of -0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.19).

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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of iShares Currency Hedged MSCI Spain is 13 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • Compared with SPY (6.36 ) in the period of the last 3 years, the Downside risk index of 13 is higher, 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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -40.1 days 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 (-33.7 days)
  • Looking at maximum reduction from previous high 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 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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of iShares Currency Hedged MSCI Spain is 610 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days under water is 426 days, which is larger, thus worse than the value of 119 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.'

Using this definition on our asset we see for example:
  • 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 (32 days) in the same period.
  • Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 149 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI Spain are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.