'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:- Looking at the total return of 44.1% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (100.7%)
- Compared with SPY (33.2%) in the period of the last 3 years, the total return, or increase in value of 9.5% is smaller, thus worse.

'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:- Looking at the annual performance (CAGR) of 7.6% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15%)
- Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of 3.1% is smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the 30 days standard deviation of 27.1% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (20.9%)
- During the last 3 years, the volatility is 19.9%, which is greater, thus worse than the value of 17.3% 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:- Looking at the downside risk of 19.5% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
- Looking at downside volatility in of 13.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.19 of iShares MSCI Australia Index Fund is smaller, thus worse.
- During the last 3 years, the Sharpe Ratio is 0.03, which is lower, thus worse than the value of 0.44 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of 0.26 in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.83)
- Looking at downside risk / excess return profile in of 0.04 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.62).

'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.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 11 in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.32 )
- During the last 3 years, the Ulcer Ratio is 11 , which is larger, thus worse than the value of 10 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 DrawDown of -45.5 days of iShares MSCI Australia Index Fund is smaller, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -24.9 days, which is lower, thus worse than the value of -24.5 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:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 482 days of iShares MSCI Australia Index Fund is lower, thus better.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 482 days is smaller, thus better.

'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:- The average time in days below previous high water mark over 5 years of iShares MSCI Australia Index Fund is 138 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
- During the last 3 years, the average days under water is 185 days, which is higher, thus worse than the value of 180 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 Australia Index Fund are hypothetical and do not account for slippage, fees or taxes.