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)

What do these metrics mean? [Read More] [Hide]

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:
  • The total return over 5 years of Xtrackers Harvest CSI 300 China ETF is 38.2%, which is smaller, thus worse compared to the benchmark SPY (68.6%) in the same period.
  • Looking at total return, or increase in value in of 15.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (51%).

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:
  • Looking at the compounded annual growth rate (CAGR) of 6.7% 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 (11%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 5%, which is lower, thus worse than the value of 14.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 32.7% in the last 5 years of Xtrackers Harvest CSI 300 China ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at 30 days standard deviation in of 22.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Xtrackers Harvest CSI 300 China ETF is 33.1%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside risk of 23.3% is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.13 of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
  • Compared with SPY (0.96) in the period of the last 3 years, the Sharpe Ratio of 0.11 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.13 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 (0.57)
  • During the last 3 years, the excess return divided by the downside deviation is 0.11, which is lower, thus worse than the value of 0.83 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of Xtrackers Harvest CSI 300 China ETF is 35 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • During the last 3 years, the Ulcer Index is 18 , which is higher, thus worse than the value of 4.1 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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Xtrackers Harvest CSI 300 China ETF is -50.2 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum reduction from previous high in of -37.5 days in the period of the last 3 years, we see it is relatively smaller, 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 days under water of 1117 days of Xtrackers Harvest CSI 300 China ETF is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 456 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

Which means for our asset as example:
  • The average days under water over 5 years of Xtrackers Harvest CSI 300 China ETF is 513 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 162 days is larger, thus worse.

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 (%)

  • Note that yearly returns do not equal 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.