'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, or increase in value over 5 years of iShares MSCI Emerging Index Fund is 5.5%, which is lower, thus worse compared to the benchmark SPY (93.6%) in the same period.
- During the last 3 years, the total return, or performance is -25.2%, which is smaller, thus worse than the value of 33.2% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 1.1% of iShares MSCI Emerging Index Fund is lower, thus worse.
- Looking at annual performance (CAGR) in of -9.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

'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.'

Which means for our asset as example:- The volatility over 5 years of iShares MSCI Emerging Index Fund is 22.3%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 19% is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- The downside risk over 5 years of iShares MSCI Emerging Index Fund is 16.3%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
- Looking at downside volatility in of 13.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.2%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.06 of iShares MSCI Emerging Index Fund is smaller, thus worse.
- Looking at risk / return profile (Sharpe) in of -0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.43).

'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:- The ratio of annual return and downside deviation over 5 years of iShares MSCI Emerging Index Fund is -0.09, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
- Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.88 is lower, thus worse.

'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:- Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 20 of iShares MSCI Emerging Index Fund is greater, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 24 is higher, thus worse.

'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.'

Which means for our asset as example:- The maximum reduction from previous high over 5 years of iShares MSCI Emerging Index Fund is -39.8 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum DrawDown is -39.4 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The maximum days under water over 5 years of iShares MSCI Emerging Index Fund is 756 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
- Looking at maximum days below previous high in of 754 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 days).

'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:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 265 days of iShares MSCI Emerging Index Fund is higher, thus worse.
- Looking at average time in days below previous high water mark in of 378 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (180 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares MSCI Emerging Index Fund 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.