Xtrackers Harvest CSI 300 China ETF (ASHR)

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.'

• Compared with the benchmark SPY (73.6%) in the period of the last 5 years, the total return, or performance of -10.4% of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
• During the last 3 years, the total return, or performance is 14.2%, which is smaller, thus worse than the value of 67.4% from the benchmark.

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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -2.2% of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.9%).

Volatility:

'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.'

• Looking at the volatility of 23.8% in the last 5 years of Xtrackers Harvest CSI 300 China ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• Compared with SPY (15.1%) in the period of the last 3 years, the volatility of 23.8% is higher, thus worse.

DownVol:

'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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside risk of 16.3% of Xtrackers Harvest CSI 300 China ETF is larger, thus worse.
• Looking at downside risk in of 16.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.2%).

Sharpe:

'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.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the Sharpe Ratio of -0.2 of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.08).

Sortino:

'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.'

• Looking at the excess return divided by the downside deviation of -0.29 in the last 5 years of Xtrackers Harvest CSI 300 China ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
• During the last 3 years, the downside risk / excess return profile is 0.13, which is smaller, thus worse than the value of 1.61 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Xtrackers Harvest CSI 300 China ETF is 29 , which is greater, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 17 , which is higher, thus worse than the value of 3.5 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of Xtrackers Harvest CSI 300 China ETF is -46.4 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -33.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Looking at the maximum days below previous high of 1219 days in the last 5 years of Xtrackers Harvest CSI 300 China ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 366 days is higher, thus worse.

AveDuration:

'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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 597 days of Xtrackers Harvest CSI 300 China ETF is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 158 days, which is greater, thus worse than the value of 20 days from the benchmark.