'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 (67.5%) in the period of the last 5 years, the total return of 25.1% of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus worse.
- Compared with SPY (39.8%) in the period of the last 3 years, the total return, or increase in value of 35.2% is smaller, thus worse.

'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:- The annual return (CAGR) over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 4.6%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
- Compared with SPY (11.8%) in the period of the last 3 years, the annual return (CAGR) of 10.6% is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 18.7% of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus better.
- Looking at 30 days standard deviation in of 15.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.7%).

'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 risk of 13.9% in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.4%)
- Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 10.7% is smaller, thus better.

'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:- Looking at the risk / return profile (Sharpe) of 0.11 in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
- During the last 3 years, the Sharpe Ratio is 0.53, which is higher, thus better than the value of 0.5 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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of 0.15 in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
- Compared with SPY (0.7) in the period of the last 3 years, the downside risk / excess return profile of 0.76 is greater, thus better.

'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.'

Which means for our asset as example:- The Downside risk index over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 9.67 , which is higher, thus worse compared to the benchmark SPY (9.48 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 4.07 is smaller, 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:- Looking at the maximum drop from peak to valley of -33.1 days in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -15.2 days is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (358 days) in the period of the last 5 years, the maximum days below previous high of 450 days of iShares Currency Hedged MSCI United Kingdom ETF is greater, thus worse.
- Compared with SPY (358 days) in the period of the last 3 years, the maximum days below previous high of 124 days is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (80 days) in the period of the last 5 years, the average days under water of 113 days of iShares Currency Hedged MSCI United Kingdom ETF is higher, thus worse.
- Compared with SPY (104 days) in the period of the last 3 years, the average time in days below previous high water mark of 34 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 iShares Currency Hedged MSCI United Kingdom 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.