'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:- Looking at the total return, or performance of 51.6% in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.7%)
- Looking at total return in of 41.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.9%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of iShares MSCI New Zealand ETF is 8.7%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
- Compared with SPY (14%) in the period of the last 3 years, the annual return (CAGR) of 12.2% is lower, thus worse.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:- Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the volatility of 15.2% of iShares MSCI New Zealand ETF is larger, thus worse.
- During the last 3 years, the 30 days standard deviation is 14.4%, which is larger, thus worse than the value of 12.5% from the benchmark.

'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:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 15.5% of iShares MSCI New Zealand ETF is greater, thus worse.
- Compared with SPY (14.2%) in the period of the last 3 years, the downside deviation of 15.2% is higher, thus worse.

'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.'

Which means for our asset as example:- Looking at the ratio of return and volatility (Sharpe) of 0.41 in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.64)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.67, which is lower, thus worse than the value of 0.91 from the benchmark.

'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.'

Which means for our asset as example:- The ratio of annual return and downside deviation over 5 years of iShares MSCI New Zealand ETF is 0.4, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
- Looking at downside risk / excess return profile in of 0.64 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.81).

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 7.66 in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (3.96 )
- Looking at Ulcer Ratio in of 6.5 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

'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:- Looking at the maximum drop from peak to valley of -22.9 days in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum drop from peak to valley is -17.5 days, which is larger, thus better than the value of -19.3 days from the benchmark.

'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.'

Which means for our asset as example:- The maximum days below previous high over 5 years of iShares MSCI New Zealand ETF is 255 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
- During the last 3 years, the maximum days below previous high is 215 days, which is higher, thus worse than the value of 139 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 74 days in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (41 days)
- Looking at average time in days below previous high water mark in of 55 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of iShares MSCI New Zealand 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.