'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:- Looking at the total return, or increase in value of 53.8% in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (80%)
- During the last 3 years, the total return, or increase in value is 33.2%, which is larger, thus better than the value of 31.8% from the benchmark.

'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:- Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual return (CAGR) of 9% of iShares MSCI Saudi Arabia ETF is lower, thus worse.
- During the last 3 years, the annual return (CAGR) is 10%, which is larger, thus better than the value of 9.7% from the benchmark.

'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 (21.3%) in the period of the last 5 years, the historical 30 days volatility of 23% of iShares MSCI Saudi Arabia ETF is higher, thus worse.
- Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 16.2% is lower, thus better.

'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:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside risk of 16.2% of iShares MSCI Saudi Arabia ETF is higher, thus worse.
- Looking at downside volatility in of 11.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

'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:- The risk / return profile (Sharpe) over 5 years of iShares MSCI Saudi Arabia ETF is 0.28, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.47, which is greater, thus better than the value of 0.41 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.'

Which means for our asset as example:- Looking at the downside risk / excess return profile of 0.4 in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
- Looking at downside risk / excess return profile in of 0.67 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.58).

'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:- Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Downside risk index of 15 of iShares MSCI Saudi Arabia ETF is higher, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 14 is larger, 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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -40.6 days in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -28.1 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.'

Which means for our asset as example:- Looking at the maximum days under water of 465 days in the last 5 years of iShares MSCI Saudi Arabia ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (480 days)
- Looking at maximum days below previous high in of 408 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (480 days).

'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:- Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 168 days of iShares MSCI Saudi Arabia ETF is higher, thus worse.
- During the last 3 years, the average days under water is 127 days, which is lower, thus better than the value of 174 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 MSCI Saudi Arabia 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.