'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.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of iShares MSCI Colombia ETF is -29.3%, which is smaller, thus worse compared to the benchmark SPY (61.9%) in the same period.
- Compared with SPY (79.4%) in the period of the last 3 years, the total return, or increase in value of -19.7% 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:- The annual return (CAGR) over 5 years of iShares MSCI Colombia ETF is -6.7%, which is smaller, thus worse compared to the benchmark SPY (10.1%) in the same period.
- Looking at annual performance (CAGR) in of -7.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.5%).

'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 30 days standard deviation over 5 years of iShares MSCI Colombia ETF is 27.5%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
- Compared with SPY (21.2%) in the period of the last 3 years, the 30 days standard deviation of 32.3% is higher, thus worse.

'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:- The downside deviation over 5 years of iShares MSCI Colombia ETF is 20.9%, which is higher, thus worse compared to the benchmark SPY (15.5%) in the same period.
- Compared with SPY (14.1%) in the period of the last 3 years, the downside risk of 24.7% 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.'

Using this definition on our asset we see for example:- The risk / return profile (Sharpe) over 5 years of iShares MSCI Colombia ETF is -0.34, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
- Looking at risk / return profile (Sharpe) in of -0.3 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.9).

'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 downside risk / excess return profile of -0.44 in the last 5 years of iShares MSCI Colombia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
- Looking at ratio of annual return and downside deviation in of -0.39 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.35).

'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.'

Which means for our asset as example:- The Downside risk index over 5 years of iShares MSCI Colombia ETF is 28 , which is greater, thus worse compared to the benchmark SPY (9.15 ) in the same period.
- Looking at Downside risk index in of 27 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (9.78 ).

'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:- The maximum reduction from previous high over 5 years of iShares MSCI Colombia ETF is -63.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -59.7 days is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (305 days) in the period of the last 5 years, the maximum days below previous high of 1095 days of iShares MSCI Colombia ETF is larger, thus worse.
- Compared with SPY (305 days) in the period of the last 3 years, the maximum days below previous high of 667 days is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the average days below previous high of 488 days in the last 5 years of iShares MSCI Colombia ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (65 days)
- Looking at average days under water in of 305 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (80 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 MSCI Colombia 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.