'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:- Looking at the total return of 27.4% in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (133.2%)
- Compared with SPY (80.4%) in the period of the last 3 years, the total return of 17.4% is smaller, thus worse.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of 5.1% in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18.5%)
- Compared with SPY (21.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.5% is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 17.9% of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus better.
- Compared with SPY (22.4%) in the period of the last 3 years, the 30 days standard deviation of 21.2% is smaller, thus better.

'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:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 13.4% of iShares Currency Hedged MSCI United Kingdom ETF is smaller, thus better.
- Looking at downside risk in of 16% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.2%).

'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 (0.85) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.14 of iShares Currency Hedged MSCI United Kingdom ETF is lower, thus worse.
- During the last 3 years, the Sharpe Ratio is 0.14, which is smaller, thus worse than the value of 0.86 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 0.19, which is lower, thus worse compared to the benchmark SPY (1.18) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is 0.19, which is lower, thus worse than the value of 1.19 from the benchmark.

'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:- The Ulcer Index over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 9.62 , which is larger, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Compared with SPY (6.36 ) in the period of the last 3 years, the Ulcer Index of 12 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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -33.1 days of iShares Currency Hedged MSCI United Kingdom ETF is larger, thus better.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -33.1 days is larger, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 446 days in the last 5 years of iShares Currency Hedged MSCI United Kingdom ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 446 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.'

Which means for our asset as example:- The average days under water over 5 years of iShares Currency Hedged MSCI United Kingdom ETF is 120 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
- Compared with SPY (25 days) in the period of the last 3 years, the average time in days below previous high water mark of 150 days is higher, thus worse.

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 Currency Hedged MSCI United Kingdom 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.