'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.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of iShares MSCI UAE ETF is 22.6%, which is lower, thus worse compared to the benchmark SPY (60.6%) in the same period.
- During the last 3 years, the total return, or performance is 59.9%, which is greater, thus better than the value of 38% 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 (10%) in the period of the last 5 years, the annual performance (CAGR) of 4.2% of iShares MSCI UAE ETF is lower, thus worse.
- Compared with SPY (11.3%) in the period of the last 3 years, the annual return (CAGR) of 17% is larger, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 21.2% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.5%)
- Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 17.9% is higher, thus worse.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:- Looking at the downside volatility of 15.1% in the last 5 years of iShares MSCI UAE ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
- Looking at downside risk in of 11.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.5%).

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of iShares MSCI UAE ETF is 0.08, which is lower, thus worse compared to the benchmark SPY (0.35) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of 0.81 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.49).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.48) in the period of the last 5 years, the excess return divided by the downside deviation of 0.11 of iShares MSCI UAE ETF is lower, thus worse.
- Looking at downside risk / excess return profile in of 1.22 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.71).

'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:- The Ulcer Index over 5 years of iShares MSCI UAE ETF is 16 , which is larger, thus worse compared to the benchmark SPY (9.55 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 13 , which is larger, thus worse than the value of 10 from the benchmark.

'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:- The maximum reduction from previous high over 5 years of iShares MSCI UAE ETF is -44.8 days, which is smaller, 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 drop from peak to valley of -27.5 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) in days.'

Which means for our asset as example:- Compared with the benchmark SPY (431 days) in the period of the last 5 years, the maximum days below previous high of 524 days of iShares MSCI UAE ETF is larger, thus worse.
- Looking at maximum days under water in of 368 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (431 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average days under water of 179 days of iShares MSCI UAE ETF is greater, thus worse.
- Compared with SPY (144 days) in the period of the last 3 years, the average time in days below previous high water mark of 108 days is lower, thus better.

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 UAE 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.