'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.'

Using this definition on our asset we see for example:- The total return over 5 years of iShares MSCI Japan Index Fund is 15.7%, which is lower, thus worse compared to the benchmark SPY (81.9%) in the same period.
- Compared with SPY (46.1%) in the period of the last 3 years, the total return of 9.6% 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.'

Applying this definition to our asset in some examples:- The annual return (CAGR) over 5 years of iShares MSCI Japan Index Fund is 3%, which is smaller, thus worse compared to the benchmark SPY (12.7%) in the same period.
- Compared with SPY (13.5%) in the period of the last 3 years, the annual performance (CAGR) of 3.1% is smaller, thus worse.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (19.8%) in the period of the last 5 years, the historical 30 days volatility of 17% of iShares MSCI Japan Index Fund is lower, thus better.
- Looking at historical 30 days volatility in of 19.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (23%).

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

Applying this definition to our asset in some examples:- Looking at the downside risk of 12.6% in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.5%)
- Compared with SPY (16.8%) in the period of the last 3 years, the downside risk of 14.1% is smaller, thus better.

'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 0.03 in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.52)
- Looking at risk / return profile (Sharpe) in of 0.03 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.48).

'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:- The ratio of annual return and downside deviation over 5 years of iShares MSCI Japan Index Fund is 0.04, which is lower, thus worse compared to the benchmark SPY (0.7) in the same period.
- Looking at excess return divided by the downside deviation in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.65).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (6.08 ) in the period of the last 5 years, the Ulcer Index of 10 of iShares MSCI Japan Index Fund is higher, thus worse.
- Looking at Ulcer Ratio in of 8.49 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.77 ).

'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 -30.7 days in the last 5 years of iShares MSCI Japan Index Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -28.3 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-33.7 days).

'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:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 701 days of iShares MSCI Japan Index Fund is larger, thus worse.
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 222 days is greater, thus worse.

'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:- Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average days below previous high of 230 days of iShares MSCI Japan Index Fund is larger, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 72 days, which is higher, thus worse than the value of 27 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 Japan Index Fund 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.