'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.'

Which means for our asset as example:- Looking at the total return of -3.5% in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (99.9%)
- Compared with SPY (35%) in the period of the last 3 years, the total return, or performance of 2.9% is lower, thus worse.

'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:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the annual performance (CAGR) of -0.8% of BTC iShares Currency Hedged MSCI Italy ETF is smaller, thus worse.
- Looking at annual return (CAGR) in of 1.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.5%).

'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 historical 30 days volatility of 26.7% of BTC iShares Currency Hedged MSCI Italy ETF is higher, thus worse.
- During the last 3 years, the volatility is 27.1%, which is larger, thus worse than the value of 17.3% 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.'

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 greater, thus worse.
- Compared with SPY (12%) in the period of the last 3 years, the downside volatility of 21.3% is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the risk / return profile (Sharpe) of -0.12 in the last 5 years of BTC iShares Currency Hedged MSCI Italy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.59)
- During the last 3 years, the ratio of return and volatility (Sharpe) is -0.05, which is lower, thus worse than the value of 0.47 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the downside risk / excess return profile of -0.16 of BTC iShares Currency Hedged MSCI Italy ETF is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is -0.07, which is smaller, thus worse than the value of 0.67 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:- The Ulcer Index over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is 17 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 14 , which is larger, thus worse than the value of 10 from the benchmark.

'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:- 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.
- During the last 3 years, the maximum DrawDown is -42.9 days, which is smaller, thus worse than the value of -24.5 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 543 days of BTC iShares Currency Hedged MSCI Italy ETF is higher, thus worse.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 305 days is smaller, thus better.

'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:- The average time in days below previous high water mark over 5 years of BTC iShares Currency Hedged MSCI Italy ETF is 181 days, which is larger, thus worse compared to the benchmark SPY (124 days) in the same period.
- Compared with SPY (181 days) in the period of the last 3 years, the average time in days below previous high water mark of 93 days is lower, thus better.

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 and do not account for slippage, fees or taxes.