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.'

• Compared with the benchmark SPY (86.6%) in the period of the last 5 years, the total return, or increase in value of 31.7% of iShares Currency Hedged MSCI United Kingdom ETF is smaller, thus worse.
• During the last 3 years, the total return is 46.5%, which is higher, thus better than the value of 26.7% 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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 5.8%, which is smaller, thus worse compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 13.8%, which is larger, thus better than the value of 8.2% from the benchmark.

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.'

• The volatility over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 18.7%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 13.7% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 13.9%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 9.2% is lower, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of 0.17 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 (0.52)
• Compared with SPY (0.33) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.83 is larger, thus better.

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.'

• Compared with the benchmark SPY (0.72) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.23 of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 1.23 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.47).

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 (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 9.47 of iShares Currency Hedged MSCI United Kingdom ETF is higher, thus worse.
• Looking at Downside risk index in of 3.18 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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.'

• 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.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -9.3 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) in days.'

• The maximum days under water over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 441 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 180 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 days).

AveDuration:

'The Average 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. 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 time in days below previous high water mark over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 113 days, which is smaller, thus better compared to the benchmark SPY (123 days) in the same period.
• Looking at average days below previous high in of 43 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (179 days).