Description of iShares Currency Hedged MSCI United Kingdom ETF

iShares Currency Hedged MSCI United Kingdom ETF

Statistics of iShares Currency Hedged MSCI United Kingdom ETF (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • The total return over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is %, which is lower, thus worse compared to the benchmark SPY (65.8%) in the same period.
  • Looking at total return in of 25% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.8%).

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of % in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.6%)
  • Compared with SPY (14.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of % of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus better.
  • Looking at historical 30 days volatility in of 11.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.8%).

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is %, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
  • Looking at downside deviation in of 12.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.6%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of of iShares Currency Hedged MSCI United Kingdom ETF is smaller, thus worse.
  • Compared with SPY (0.91) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.48 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus worse.
  • Looking at excess return divided by the downside deviation in of 0.44 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.8).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (4.03 ) in the period of the last 5 years, the Ulcer Index of of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus better.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 4.24 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.'

Which means for our asset as example:
  • 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 United Kingdom ETF is higher, thus better.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -14.3 days is higher, thus better.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days under water in of 222 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 54 days, which is higher, thus worse than the value of 35 days from the benchmark.

Performance of iShares Currency Hedged MSCI United Kingdom ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Currency Hedged MSCI United Kingdom ETF
()

Allocations

Returns of iShares Currency Hedged MSCI United Kingdom ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares Currency Hedged MSCI United Kingdom ETF 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.