Description of Xtrackers Harvest CSI 300 China ETF

Xtrackers Harvest CSI 300 China A-Shares ETF

Statistics of Xtrackers Harvest CSI 300 China ETF (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return, or increase in value of 57.4% of Xtrackers Harvest CSI 300 China ETF is smaller, thus worse.
  • Compared with SPY (46.6%) in the period of the last 3 years, the total return of 15.2% is smaller, thus worse.

CAGR:

'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:
  • The compounded annual growth rate (CAGR) over 5 years of Xtrackers Harvest CSI 300 China ETF is 9.5%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 4.8%, which is smaller, thus worse than the value of 13.6% from the benchmark.

Volatility:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the 30 days standard deviation of 32.6% of Xtrackers Harvest CSI 300 China ETF is higher, thus worse.
  • Looking at 30 days standard deviation in of 22.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.5%).

DownVol:

'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.'

Which means for our asset as example:
  • The downside risk over 5 years of Xtrackers Harvest CSI 300 China ETF is 33%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • During the last 3 years, the downside deviation is 22.7%, which is larger, thus worse than the value of 14.2% from the benchmark.

Sharpe:

'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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.22 of Xtrackers Harvest CSI 300 China ETF is smaller, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.1, which is smaller, thus worse than the value of 0.89 from the benchmark.

Sortino:

'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:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the downside risk / excess return profile of 0.21 of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.1 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.78).

Ulcer:

'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 (3.96 ) in the period of the last 5 years, the Ulcer Index of 33 of Xtrackers Harvest CSI 300 China ETF is greater, thus better.
  • Looking at Ulcer Ratio in of 16 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

MaxDD:

'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:
  • The maximum drop from peak to valley over 5 years of Xtrackers Harvest CSI 300 China ETF is -50.4 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -37.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

MaxDuration:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 989 days of Xtrackers Harvest CSI 300 China ETF is greater, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 328 days is greater, thus worse.

AveDuration:

'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 days under water over 5 years of Xtrackers Harvest CSI 300 China ETF is 412 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 95 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of Xtrackers Harvest CSI 300 China ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Xtrackers Harvest CSI 300 China ETF
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Allocations

Returns of Xtrackers Harvest CSI 300 China ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Xtrackers Harvest CSI 300 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.