'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (121.6%) in the period of the last 5 years, the total return, or increase in value of -27% of iShares MSCI Philippines ETF is lower, thus worse.
- Compared with SPY (64.5%) in the period of the last 3 years, the total return of -12.6% is lower, thus worse.

'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:- The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Philippines ETF is -6.1%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
- Looking at annual performance (CAGR) in of -4.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (18.1%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 25.6% of iShares MSCI Philippines ETF is higher, thus worse.
- Looking at historical 30 days volatility in of 29.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

'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:- Looking at the downside risk of 19.5% in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
- Compared with SPY (16.4%) in the period of the last 3 years, the downside volatility of 22.8% is greater, 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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Philippines ETF is -0.34, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
- Compared with SPY (0.69) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.23 is smaller, thus worse.

'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.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of -0.44 in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.09)
- Compared with SPY (0.95) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.3 is smaller, thus worse.

'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 Ulcer Index of 20 in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.58 )
- During the last 3 years, the Ulcer Index is 18 , which is higher, thus worse than the value of 6.83 from the benchmark.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -51.6 days of iShares MSCI Philippines ETF is lower, thus worse.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -48.2 days is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 897 days of iShares MSCI Philippines ETF is higher, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 516 days is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average time in days below previous high water mark of 371 days of iShares MSCI Philippines ETF is larger, thus worse.
- During the last 3 years, the average days below previous high is 192 days, which is higher, thus worse than the value of 35 days from the benchmark.

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 Philippines 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.