'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.'

Which means for our asset as example:- Compared with the benchmark SPY (57.1%) in the period of the last 5 years, the total return of 26.1% of iShares MSCI Italy ETF is lower, thus worse.
- Looking at total return, or increase in value in of 33.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (32%).

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of 4.8% in the last 5 years of iShares MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.5%)
- Looking at compounded annual growth rate (CAGR) in of 10% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.7%).

'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:- Looking at the volatility of 26% in the last 5 years of iShares MSCI Italy ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.5%)
- Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 22.9% is greater, thus worse.

'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 19.4% in the last 5 years of iShares MSCI Italy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.5%)
- During the last 3 years, the downside deviation is 16.2%, which is higher, thus worse than the value of 12.5% 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:- Compared with the benchmark SPY (0.32) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.09 of iShares MSCI Italy ETF is lower, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.33, which is lower, thus worse than the value of 0.41 from the benchmark.

'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 downside risk / excess return profile of 0.12 in the last 5 years of iShares MSCI Italy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.45)
- Looking at downside risk / excess return profile in of 0.46 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.58).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Ulcer Ratio of 14 of iShares MSCI Italy ETF is greater, thus worse.
- Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'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:- The maximum reduction from previous high over 5 years of iShares MSCI Italy ETF is -40.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -35.2 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of iShares MSCI Italy ETF is 412 days, which is smaller, thus better compared to the benchmark SPY (439 days) in the same period.
- Looking at maximum days below previous high in of 412 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (439 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:- Looking at the average days below previous high of 106 days in the last 5 years of iShares MSCI Italy ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (106 days)
- Compared with SPY (149 days) in the period of the last 3 years, the average days under water of 132 days is smaller, thus better.

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 Italy 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.