'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:- Compared with the benchmark SPY (129.1%) in the period of the last 5 years, the total return, or performance of 12.1% of iShares North American Natural Resources ETF is lower, thus worse.
- Looking at total return, or performance in of 6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.3%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (18.1%) in the period of the last 5 years, the annual return (CAGR) of 2.3% of iShares North American Natural Resources ETF is lower, thus worse.
- During the last 3 years, the compounded annual growth rate (CAGR) is 2%, which is lower, thus worse than the value of 19.7% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of iShares North American Natural Resources ETF is 27.3%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 32.6% is greater, thus worse.

'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.'

Which means for our asset as example:- Looking at the downside volatility of 20.1% in the last 5 years of iShares North American Natural Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
- During the last 3 years, the downside risk is 24.1%, which is greater, thus worse than the value of 16.3% from the benchmark.

'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:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.01 of iShares North American Natural Resources ETF is lower, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is -0.02, which is smaller, thus worse than the value of 0.76 from the benchmark.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of iShares North American Natural Resources ETF is -0.01, which is lower, thus worse compared to the benchmark SPY (1.15) in the same period.
- Compared with SPY (1.05) in the period of the last 3 years, the excess return divided by the downside deviation of -0.02 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Downside risk index of 21 of iShares North American Natural Resources ETF is higher, thus worse.
- Compared with SPY (6.38 ) in the period of the last 3 years, the Ulcer Ratio of 21 is higher, thus worse.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -60.6 days in the last 5 years of iShares North American Natural Resources ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum DrawDown in of -57.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 858 days of iShares North American Natural Resources ETF is greater, thus worse.
- During the last 3 years, the maximum days below previous high is 648 days, which is larger, thus worse than the value of 119 days from the benchmark.

'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:- The average time in days below previous high water mark over 5 years of iShares North American Natural Resources ETF is 330 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
- During the last 3 years, the average time in days below previous high water mark is 286 days, which is greater, thus worse than the value of 25 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 North American Natural Resources 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.