Description

The investment seeks to track the investment results of the MSCI Hong Kong Index. The fund will at all times invest at least 80% of its assets in the securities of its underlying index and in depositary receipts representing securities in its underlying index. The underlying index primarily consists of stocks traded on the Stock Exchange of Hong Kong Limited (SEHK). It will include large- and mid-capitalization companies and may change over time. The fund is non-diversified.

Statistics (YTD)

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

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of iShares MSCI Hong Kong Index Fund is -13.7%, which is lower, thus worse compared to the benchmark SPY (101.5%) in the same period.
  • During the last 3 years, the total return, or increase in value is -19.1%, which is lower, thus worse than the value of 29.7% 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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of -2.9% in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.1%)
  • Looking at annual return (CAGR) in of -6.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.1%).

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of iShares MSCI Hong Kong Index Fund is 22.1%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 21.1%, which is larger, thus worse than the value of 17.6% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of iShares MSCI Hong Kong Index Fund is 15.8%, which is larger, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 14.6% is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of -0.24 in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.44, which is lower, thus worse than the value of 0.37 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of -0.34 in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.84)
  • Compared with SPY (0.53) in the period of the last 3 years, the excess return divided by the downside deviation of -0.64 is smaller, thus worse.

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 (9.32 ) in the period of the last 5 years, the Ulcer Index of 23 of iShares MSCI Hong Kong Index Fund is greater, thus worse.
  • Looking at Downside risk index in of 21 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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 DrawDown over 5 years of iShares MSCI Hong Kong Index Fund is -42.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -36.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 863 days in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
  • Looking at maximum days below previous high in of 681 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (488 days).

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.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 328 days in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (123 days)
  • Compared with SPY (177 days) in the period of the last 3 years, the average days under water of 311 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Hong Kong Index Fund are hypothetical and do not account for slippage, fees or taxes.