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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of Xtrackers Harvest CSI 300 China ETF is 64.6%, which is lower, thus worse compared to the benchmark SPY (66%) in the same period.
  • During the last 3 years, the total return, or performance is 17%, which is smaller, thus worse than the value of 45.6% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 10.5% of Xtrackers Harvest CSI 300 China ETF is smaller, thus worse.
  • Compared with SPY (13.3%) in the period of the last 3 years, the annual performance (CAGR) of 5.4% is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the volatility 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 (13.4%)
  • Looking at volatility in of 22.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 33% of Xtrackers Harvest CSI 300 China ETF is higher, thus worse.
  • Looking at downside risk in of 22.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.8%).

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 (0.61) in the period of the last 5 years, the Sharpe Ratio of 0.24 of Xtrackers Harvest CSI 300 China ETF is lower, thus worse.
  • Compared with SPY (0.88) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.13 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 excess return divided by the downside deviation of 0.24 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 (0.56)
  • During the last 3 years, the downside risk / excess return profile is 0.13, which is smaller, thus worse than the value of 0.78 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Downside risk index of 34 of Xtrackers Harvest CSI 300 China ETF is larger, thus worse.
  • Looking at Downside risk index in of 17 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.04 ).

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.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -37.5 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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of Xtrackers Harvest CSI 300 China ETF is 1032 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days under water is 371 days, which is larger, thus worse than the value of 139 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of Xtrackers Harvest CSI 300 China ETF is 446 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average days below previous high is 115 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.