'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of iShares Currency Hedged MSCI Canada ETF is 48.1%, which is lower, thus worse compared to the benchmark SPY (101.5%) in the same period.
- During the last 3 years, the total return, or performance is 30.5%, which is larger, thus better than the value of 29.7% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The compounded annual growth rate (CAGR) over 5 years of iShares Currency Hedged MSCI Canada ETF is 8.2%, which is lower, thus worse compared to the benchmark SPY (15.1%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 9.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.1%).

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of iShares Currency Hedged MSCI Canada ETF is 17.8%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
- Looking at volatility in of 12.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

'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 (14.9%) in the period of the last 5 years, the downside deviation of 13.1% of iShares Currency Hedged MSCI Canada ETF is smaller, thus better.
- During the last 3 years, the downside volatility is 9.1%, which is smaller, thus better than the value of 12.3% from the benchmark.

'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 (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.32 of iShares Currency Hedged MSCI Canada ETF is lower, thus worse.
- Looking at risk / return profile (Sharpe) in of 0.53 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.37).

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of 0.44 in the last 5 years of iShares Currency Hedged MSCI Canada ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.84)
- During the last 3 years, the downside risk / excess return profile is 0.75, which is greater, thus better than the value of 0.53 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 7.07 of iShares Currency Hedged MSCI Canada ETF is smaller, thus better.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 5.98 is lower, thus better.

'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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of iShares Currency Hedged MSCI Canada ETF is -34.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -16.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 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) in days.'

Which means for our asset as example:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 408 days of iShares Currency Hedged MSCI Canada ETF is smaller, thus better.
- Looking at maximum days under water in of 408 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 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:- The average days below previous high over 5 years of iShares Currency Hedged MSCI Canada ETF is 102 days, which is smaller, thus better compared to the benchmark SPY (123 days) in the same period.
- Looking at average days under water in of 131 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (177 days).

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares Currency Hedged MSCI Canada ETF are hypothetical and do not account for slippage, fees or taxes.