iShares MSCI Hong Kong Index Fund (EWH)

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.'

• Looking at the total return, or increase in value of 79.3% 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 (128%)
• During the last 3 years, the total return is 8.3%, which is smaller, thus worse than the value of 44.9% 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.'

• Compared with the benchmark SPY (17.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.4% of iShares MSCI Hong Kong Index Fund is lower, thus worse.
• Looking at annual performance (CAGR) in of 2.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.2%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The 30 days standard deviation over 5 years of iShares MSCI Hong Kong Index Fund is 19.1%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at historical 30 days volatility in of 22.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.9%).

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.'

• The downside deviation over 5 years of iShares MSCI Hong Kong Index Fund is 13.6%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Looking at downside deviation in of 16.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.7%).

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.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.52 of iShares MSCI Hong Kong Index Fund is smaller, thus worse.
• Compared with SPY (0.47) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.01 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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI Hong Kong Index Fund is 0.73, which is smaller, thus worse compared to the benchmark SPY (1.14) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.01, which is smaller, thus worse than the value of 0.64 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.'

• Looking at the Ulcer Index of 9.31 in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.59 )
• During the last 3 years, the Ulcer Index is 12 , which is greater, thus worse than the value of 7.15 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.'

• Looking at the maximum reduction from previous high of -31.1 days in the last 5 years of iShares MSCI Hong Kong Index Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -31.1 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 448 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 (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 448 days is greater, thus worse.

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.'

• Looking at the average days under water of 132 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 (33 days)
• Looking at average days below previous high in of 193 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).