'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.'

Using this definition on our asset we see for example:- The total return over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is -3.5%, which is lower, thus worse compared to the benchmark SPY (88.1%) in the same period.
- During the last 3 years, the total return, or performance is 2.9%, which is lower, thus worse than the value of 26.1% 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:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -0.8% of BTC iShares Currency Hedged MSCI Italy ETF is lower, thus worse.
- Looking at annual return (CAGR) in of 1.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (8.1%).

'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 (20.9%) in the period of the last 5 years, the 30 days standard deviation of 26.7% of BTC iShares Currency Hedged MSCI Italy ETF is higher, thus worse.
- During the last 3 years, the 30 days standard deviation is 27.1%, which is higher, thus worse than the value of 17.3% 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 20.6% of BTC iShares Currency Hedged MSCI Italy ETF is higher, thus worse.
- Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 21.3% is higher, thus worse.

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.12 of BTC iShares Currency Hedged MSCI Italy ETF is lower, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is -0.05, which is lower, thus worse than the value of 0.32 from the benchmark.

'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:- Looking at the ratio of annual return and downside deviation of -0.16 in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.73)
- Looking at ratio of annual return and downside deviation in of -0.07 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.46).

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Downside risk index of 17 of BTC iShares Currency Hedged MSCI Italy ETF is higher, thus worse.
- During the last 3 years, the Downside risk index is 14 , which is larger, thus worse than the value of 10 from the benchmark.

'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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -42.9 days of BTC iShares Currency Hedged MSCI Italy ETF is lower, thus worse.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -42.9 days is lower, thus worse.

'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 543 days in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
- Looking at maximum days below previous high in of 305 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 days).

'The Average 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. 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:- The average days under water over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is 181 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
- During the last 3 years, the average days below previous high is 93 days, which is lower, thus better than the value of 179 days from the benchmark.

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 BTC iShares Currency Hedged MSCI Italy 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.