Xtrackers Harvest CSI 300 China ETF (ASHR)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (77.1%) in the period of the last 5 years, the total return, or performance of -2.8% of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
• Compared with SPY (65.7%) in the period of the last 3 years, the total return of 25.4% 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.'

• Looking at the compounded annual growth rate (CAGR) of -0.6% 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 (12.2%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 7.9%, which is lower, thus worse than the value of 18.4% 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.'

• Looking at the volatility of 24% 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 (17.2%)
• During the last 3 years, the 30 days standard deviation is 24.3%, which is higher, thus worse than the value of 15.3% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Xtrackers Harvest CSI 300 China ETF is 16.4%, which is greater, thus worse compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the downside deviation is 16.6%, which is larger, thus worse than the value of 10.3% from the benchmark.

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 (0.56) in the period of the last 5 years, the Sharpe Ratio of -0.13 of Xtrackers Harvest CSI 300 China ETF is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.22, which is smaller, thus worse than the value of 1.04 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.'

• Looking at the ratio of annual return and downside deviation of -0.19 in the last 5 years of Xtrackers Harvest CSI 300 China ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.82)
• Compared with SPY (1.54) in the period of the last 3 years, the downside risk / excess return profile of 0.32 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Xtrackers Harvest CSI 300 China ETF is 27 , which is larger, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• During the last 3 years, the Ulcer Index is 15 , which is larger, thus worse than the value of 3.53 from the benchmark.

MaxDD:

'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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -44.1 days of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -33.1 days is smaller, thus worse.

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 time in days below previous high water mark of 1161 days in the last 5 years of Xtrackers Harvest CSI 300 China ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 315 days, which is higher, thus worse than the value of 87 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of Xtrackers Harvest CSI 300 China ETF is 544 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 129 days, which is larger, thus worse than the value of 21 days from the benchmark.