iShares Currency Hedged MSCI United Kingdom ETF (HEWU)

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, or performance over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 20.7%, which is lower, thus worse compared to the benchmark SPY (61.3%) in the same period.
• Compared with SPY (31.6%) in the period of the last 3 years, the total return of 8% is lower, thus worse.

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 return (CAGR) of 4% 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%)
• During the last 3 years, the annual performance (CAGR) is 2.6%, which is lower, thus worse than the value of 9.6% from the benchmark.

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.'

• Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the volatility of 18.7% of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus better.
• Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 21.8% is lower, thus better.

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.'

• Looking at the downside risk of 14% in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside deviation of 16.4% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.08 of iShares Currency Hedged MSCI United Kingdom ETF is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.01, which is lower, thus worse than the value of 0.3 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 0.1, which is smaller, thus worse compared to the benchmark SPY (0.49) in the same period.
• Looking at excess return divided by the downside deviation in of 0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

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 Downside risk index of 9.78 in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (7.61 )
• Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.93 ).

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.1 days of iShares Currency Hedged MSCI United Kingdom ETF is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -33.1 days, which is larger, thus better than the value of -33.7 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 (185 days) in the period of the last 5 years, the maximum days under water of 441 days of iShares Currency Hedged MSCI United Kingdom ETF is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 441 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (185 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.'

• Looking at the average time in days below previous high water mark of 117 days in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (46 days)
• Compared with SPY (44 days) in the period of the last 3 years, the average time in days below previous high water mark of 146 days is higher, thus worse.