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 (92.2%) in the period of the last 5 years, the total return, or performance of 31.7% of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus worse.
• During the last 3 years, the total return is 46.5%, which is greater, thus better than the value of 30.3% from the benchmark.

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 5.8% 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 (14%)
• During the last 3 years, the annual performance (CAGR) is 13.8%, which is larger, thus better than the value of 9.3% 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.'

• Looking at the 30 days standard deviation of 18.7% in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21%)
• During the last 3 years, the volatility is 13.7%, which is lower, thus better than the value of 17.5% from the benchmark.

DownVol:

'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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 13.9% of iShares Currency Hedged MSCI United Kingdom ETF is smaller, thus better.
• Looking at downside volatility in of 9.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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.'

• The Sharpe Ratio over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 0.17, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.83 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.39).

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.'

• The downside risk / excess return profile over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 0.23, which is smaller, thus worse compared to the benchmark SPY (0.76) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.23, which is greater, thus better than the value of 0.55 from the benchmark.

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 greater, thus worse.
• During the last 3 years, the Ulcer Index is 3.18 , which is lower, thus better than the value of 9.63 from the benchmark.

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.
• During the last 3 years, the maximum DrawDown is -9.3 days, which is higher, thus better than the value of -23.4 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 441 days in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 180 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (473 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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days below previous high of 113 days of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus better.
• Compared with SPY (168 days) in the period of the last 3 years, the average days below previous high of 43 days is lower, thus better.