'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:- The total return, or increase in value over 5 years of iShares MSCI Frontier 100 Fund is -4.5%, which is lower, thus worse compared to the benchmark SPY (68.1%) in the same period.
- During the last 3 years, the total return, or increase in value is 16%, which is smaller, thus worse than the value of 47% from the benchmark.

'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 compounded annual growth rate (CAGR) over 5 years of iShares MSCI Frontier 100 Fund is -0.9%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 5.1%, which is lower, thus worse than the value of 13.7% 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.'

Using this definition on our asset we see for example:- Looking at the 30 days standard deviation of 17.2% in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.4%)
- Looking at 30 days standard deviation in of 13.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.7%).

'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:- The downside risk over 5 years of iShares MSCI Frontier 100 Fund is 13.6%, which is smaller, thus better compared to the benchmark SPY (15.4%) in the same period.
- Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 9.7% is smaller, thus better.

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of iShares MSCI Frontier 100 Fund is -0.2, which is lower, thus worse compared to the benchmark SPY (0.4) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.19, which is lower, thus worse than the value of 0.6 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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of -0.25 in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
- Looking at downside risk / excess return profile in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

'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:- The Ulcer Index over 5 years of iShares MSCI Frontier 100 Fund is 16 , which is higher, thus worse compared to the benchmark SPY (9.45 ) in the same period.
- Looking at Ulcer Index in of 16 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.'

Using this definition on our asset we see for example:- Looking at the maximum DrawDown of -37.1 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum reduction from previous high in of -34.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

'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:- Looking at the maximum time in days below previous high water mark of 389 days in the last 5 years of iShares MSCI Frontier 100 Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (351 days)
- During the last 3 years, the maximum days under water is 389 days, which is higher, thus worse than the value of 351 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 (78 days) in the period of the last 5 years, the average days under water of 137 days of iShares MSCI Frontier 100 Fund is larger, thus worse.
- Looking at average days under water in of 120 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (101 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 Frontier 100 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.