'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:- The total return, or performance over 5 years of iShares S&P Global Clean Energy Index Fund is 168.3%, which is greater, thus better compared to the benchmark SPY (81.5%) in the same period.
- Looking at total return, or increase in value in of 113.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (48.1%).

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of 21.9% in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (12.7%)
- Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 28.7% is greater, thus better.

'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:- The volatility over 5 years of iShares S&P Global Clean Energy Index Fund is 30%, which is higher, thus worse compared to the benchmark SPY (20.5%) in the same period.
- During the last 3 years, the 30 days standard deviation is 36.5%, which is greater, thus worse than the value of 23.8% from the benchmark.

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:- Looking at the downside volatility of 20.8% in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
- During the last 3 years, the downside risk is 25.3%, which is larger, thus worse than the value of 17.3% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the ratio of return and volatility (Sharpe) of 0.65 in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.5)
- During the last 3 years, the risk / return profile (Sharpe) is 0.72, which is higher, thus better than the value of 0.48 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.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of iShares S&P Global Clean Energy Index Fund is 0.93, which is higher, thus better compared to the benchmark SPY (0.68) in the same period.
- Compared with SPY (0.66) in the period of the last 3 years, the downside risk / excess return profile of 1.04 is larger, thus better.

'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.'

Which means for our asset as example:- Looking at the Ulcer Index of 21 in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (7.13 )
- Compared with SPY (8.25 ) in the period of the last 3 years, the Ulcer Ratio of 26 is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -49.1 days of iShares S&P Global Clean Energy Index Fund is smaller, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -49.1 days, which is lower, thus worse than the value of -33.7 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:- Compared with the benchmark SPY (150 days) in the period of the last 5 years, the maximum days under water of 399 days of iShares S&P Global Clean Energy Index Fund is higher, thus worse.
- During the last 3 years, the maximum days under water is 399 days, which is higher, thus worse than the value of 150 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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 96 days in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
- During the last 3 years, the average days below previous high is 130 days, which is greater, thus worse than the value of 36 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 iShares S&P Global Clean Energy Index Fund 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.