'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, or performance of 32.4% in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.3%)
- Looking at total return, or increase in value in of 19.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.6%).

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of iShares Currency Hedged MSCI Australia ETF is 11.3%, which is higher, thus better compared to the benchmark SPY (10%) in the same period.
- During the last 3 years, the annual return (CAGR) is 9%, which is smaller, thus worse than the value of 9.6% 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.'

Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of iShares Currency Hedged MSCI Australia ETF is 28.6%, which is greater, thus worse compared to the benchmark SPY (20.8%) in the same period.
- During the last 3 years, the historical 30 days volatility is 27.2%, which is greater, thus worse than the value of 24% from the benchmark.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 20.7% of iShares Currency Hedged MSCI Australia ETF is larger, thus worse.
- Looking at downside deviation in of 19.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

'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:- Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.31 of iShares Currency Hedged MSCI Australia ETF is lower, thus worse.
- Looking at ratio of return and volatility (Sharpe) in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.3).

'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.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of iShares Currency Hedged MSCI Australia ETF is 0.42, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
- Looking at ratio of annual return and downside deviation in of 0.33 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

'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:- Looking at the Ulcer Index of 9.4 in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (7.61 )
- Compared with SPY (8.93 ) in the period of the last 3 years, the Ulcer Index of 10 is larger, thus worse.

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:- Looking at the maximum DrawDown of -32.5 days in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -32.5 days, which is higher, thus better than the value of -33.7 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:- Looking at the maximum time in days below previous high water mark of 127 days in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (185 days)
- During the last 3 years, the maximum days below previous high is 127 days, which is lower, thus better than the value of 185 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:- Looking at the average days below previous high of 28 days in the last 5 years of iShares Currency Hedged MSCI Australia ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (46 days)
- Looking at average time in days below previous high water mark in of 31 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (44 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 Currency Hedged MSCI Australia 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.