'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:- Looking at the total return, or performance of 38% in the last 5 years of iShares MSCI China ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (70.9%)
- During the last 3 years, the total return, or performance is 39.1%, which is lower, thus worse than the value of 47.1% from the benchmark.

'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 China ETF is 6.7%, which is lower, thus worse compared to the benchmark SPY (11.3%) in the same period.
- Compared with SPY (13.7%) in the period of the last 3 years, the annual return (CAGR) of 11.6% is smaller, 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.'

Applying this definition to our asset in some examples:- Looking at the historical 30 days volatility of 23.1% in the last 5 years of iShares MSCI China ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
- During the last 3 years, the historical 30 days volatility is 20.9%, which is larger, thus worse than the value of 12.8% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The downside volatility over 5 years of iShares MSCI China ETF is 24.1%, which is larger, thus worse compared to the benchmark SPY (14.8%) in the same period.
- Compared with SPY (14.6%) in the period of the last 3 years, the downside deviation of 22.7% is greater, 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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of iShares MSCI China ETF is 0.18, which is lower, thus worse compared to the benchmark SPY (0.65) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is lower, thus worse than the value of 0.88 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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of 0.17 in the last 5 years of iShares MSCI China ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.59)
- During the last 3 years, the ratio of annual return and downside deviation is 0.4, which is lower, thus worse than the value of 0.77 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Index of 22 in the last 5 years of iShares MSCI China ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
- Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -43.2 days of iShares MSCI China ETF is smaller, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -33.2 days is lower, thus worse.

'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'

Which means for our asset as example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 586 days of iShares MSCI China ETF is higher, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 472 days is larger, thus worse.

'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:- Looking at the average days below previous high of 238 days in the last 5 years of iShares MSCI China ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (42 days)
- During the last 3 years, the average days under water is 170 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 MSCI China 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.