iShares MSCI Hong Kong Index Fund (EWH)

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 (105.2%) in the period of the last 5 years, the total return, or increase in value of 14.3% of iShares MSCI Hong Kong Index Fund is lower, thus worse.
• Looking at total return in of 32% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (88.7%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the annual performance (CAGR) of 2.7% of iShares MSCI Hong Kong Index Fund is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.7%, which is lower, thus worse than the value of 23.7% 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.'

• The volatility over 5 years of iShares MSCI Hong Kong Index Fund is 20.1%, which is higher, thus worse compared to the benchmark SPY (17.2%) in the same period.
• Looking at historical 30 days volatility in of 21.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.2%).

DownVol:

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

• The downside deviation over 5 years of iShares MSCI Hong Kong Index Fund is 13.9%, which is higher, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Looking at downside deviation in of 14.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.6%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Hong Kong Index Fund is 0.01, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.33, which is smaller, thus worse than the value of 1.31 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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI Hong Kong Index Fund is 0.02, which is lower, thus worse compared to the benchmark SPY (1.1) in the same period.
• Looking at excess return divided by the downside deviation in of 0.49 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.01).

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.'

• The Downside risk index over 5 years of iShares MSCI Hong Kong Index Fund is 25 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Ulcer Index is 18 , which is larger, thus worse than the value of 3.62 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -42.7 days of iShares MSCI Hong Kong Index Fund is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -32.4 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of iShares MSCI Hong Kong Index Fund is 1102 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 623 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 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.'

• The average days below previous high over 5 years of iShares MSCI Hong Kong Index Fund is 498 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 269 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).