'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investmentâ€™s overall performance.'

Which means for our asset as example:- Looking at the total return of -20.5% in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (86.2%)
- Compared with SPY (42.1%) in the period of the last 3 years, the total return of -24.9% 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:- Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the annual return (CAGR) of -4.5% of iShares MSCI Philippines ETF is smaller, thus worse.
- During the last 3 years, the compounded annual growth rate (CAGR) is -9.1%, which is lower, thus worse than the value of 12.4% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the historical 30 days volatility of 25.7% in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.8%)
- Looking at 30 days standard deviation in of 29.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.5%).

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

Using this definition on our asset we see for example:- The downside deviation over 5 years of iShares MSCI Philippines ETF is 19.6%, which is higher, thus worse compared to the benchmark SPY (13.7%) in the same period.
- During the last 3 years, the downside deviation is 22.8%, which is greater, thus worse than the value of 16.5% from the benchmark.

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of iShares MSCI Philippines ETF is -0.27, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of -0.4 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.44).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.36 of iShares MSCI Philippines ETF is smaller, thus worse.
- During the last 3 years, the downside risk / excess return profile is -0.51, which is lower, thus worse than the value of 0.6 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of iShares MSCI Philippines ETF is 18 , which is greater, thus worse compared to the benchmark SPY (5.81 ) in the same period.
- Compared with SPY (7.12 ) in the period of the last 3 years, the Ulcer Ratio of 22 is larger, thus worse.

'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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -51.6 days in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -51.6 days is smaller, 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:- Looking at the maximum days under water of 702 days in the last 5 years of iShares MSCI Philippines ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
- During the last 3 years, the maximum days below previous high is 702 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.'

Which means for our asset as example:- Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average time in days below previous high water mark of 259 days of iShares MSCI Philippines ETF is larger, thus worse.
- Looking at average days below previous high in of 332 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 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 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.