'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of iShares MSCI Mexico ETF is -48.8%, which is lower, thus worse compared to the benchmark SPY (46.1%) in the same period.
- Compared with SPY (23.5%) in the period of the last 3 years, the total return, or performance of -42.3% is smaller, 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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of -12.5% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (7.9%)
- During the last 3 years, the compounded annual growth rate (CAGR) is -16.8%, which is lower, thus worse than the value of 7.3% from the benchmark.

'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 (18.3%) in the period of the last 5 years, the historical 30 days volatility of 26.1% of iShares MSCI Mexico ETF is larger, thus worse.
- During the last 3 years, the historical 30 days volatility is 27.5%, which is greater, thus worse than the value of 20.8% 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.'

Which means for our asset as example:- Looking at the downside volatility of 20.1% in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.4%)
- Looking at downside volatility in of 21.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.4%).

'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:- Looking at the risk / return profile (Sharpe) of -0.58 in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.29)
- Looking at risk / return profile (Sharpe) in of -0.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.23).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.4) in the period of the last 5 years, the downside risk / excess return profile of -0.75 of iShares MSCI Mexico ETF is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is -0.89, which is smaller, thus worse than the value of 0.31 from the benchmark.

'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 (5.27 ) in the period of the last 5 years, the Downside risk index of 18 of iShares MSCI Mexico ETF is larger, thus worse.
- Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.08 ).

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum drop from peak to valley of -53.9 days in the last 5 years of iShares MSCI Mexico ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum DrawDown is -53.6 days, which is lower, thus worse than the value of -33.7 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) in days.'

Applying this definition to our asset in some examples:- The maximum days under water over 5 years of iShares MSCI Mexico ETF is 1260 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
- Looking at maximum days under water in of 658 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 631 days of iShares MSCI Mexico ETF is higher, thus worse.
- Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 296 days is greater, thus worse.

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 Mexico 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.