'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (101.5%) in the period of the last 5 years, the total return, or performance of 12% of iShares Currency Hedged MSCI Germany ETF is lower, thus worse.
- Looking at total return, or performance in of -8.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (29.7%).

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 49.4% in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.1%)
- During the last 3 years, the annual performance (CAGR) is -71%, which is lower, thus worse than the value of 9.1% 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:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the 30 days standard deviation of 74.9% of iShares Currency Hedged MSCI Germany ETF is higher, thus worse.
- Looking at historical 30 days volatility in of 117.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

'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 volatility of 53.7% in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
- Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 89.2% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of iShares Currency Hedged MSCI Germany ETF is 0.63, which is larger, thus better compared to the benchmark SPY (0.6) in the same period.
- Compared with SPY (0.37) in the period of the last 3 years, the Sharpe Ratio of -0.63 is lower, thus worse.

'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:- Compared with the benchmark SPY (0.84) in the period of the last 5 years, the excess return divided by the downside deviation of 0.87 of iShares Currency Hedged MSCI Germany ETF is larger, thus better.
- Looking at excess return divided by the downside deviation in of -0.82 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.53).

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 9.17 of iShares Currency Hedged MSCI Germany ETF is smaller, thus better.
- During the last 3 years, the Ulcer Index is 16 , which is greater, thus worse than the value of 10 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -26.3 days of iShares Currency Hedged MSCI Germany ETF is larger, thus better.
- During the last 3 years, the maximum DrawDown is -26.3 days, which is lower, thus worse than the value of -24.5 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). 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:- Looking at the maximum time in days below previous high water mark of 14 days in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum time in days below previous high water mark is 14 days, which is smaller, thus better than the value of 488 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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 4 days in the last 5 years of iShares Currency Hedged MSCI Germany ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (123 days)
- Looking at average days below previous high in of 6 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 Germany ETF are hypothetical and do not account for slippage, fees or taxes.