Description of iShares MSCI Hong Kong Index Fund

iShares MSCI Hong Kong Index Fund ETF

Statistics of iShares MSCI Hong Kong Index Fund (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 46.7% 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 (66.7%)
  • During the last 3 years, the total return, or performance is 39.9%, which is lower, thus worse than the value of 46% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual return (CAGR) of 8% of iShares MSCI Hong Kong Index Fund is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.5%).

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:
  • Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the historical 30 days volatility of 16.7% of iShares MSCI Hong Kong Index Fund is higher, thus worse.
  • Looking at volatility in of 14.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 17.7% of iShares MSCI Hong Kong Index Fund is larger, thus worse.
  • Looking at downside volatility in of 15.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.9%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.33 of iShares MSCI Hong Kong Index Fund is lower, thus worse.
  • Compared with SPY (0.89) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.66 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of iShares MSCI Hong Kong Index Fund is 0.31, which is smaller, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of 0.61 is lower, 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:
  • Looking at the Ulcer Index of 10 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 (3.99 )
  • During the last 3 years, the Ulcer Ratio is 6.37 , which is greater, thus worse than the value of 4.04 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.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -29.5 days 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 (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -19.7 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:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 485 days of iShares MSCI Hong Kong Index Fund is greater, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 293 days is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 150 days 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 (41 days)
  • During the last 3 years, the average time in days below previous high water mark is 79 days, which is larger, thus worse than the value of 36 days from the benchmark.

Performance of iShares MSCI Hong Kong Index Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares MSCI Hong Kong Index Fund
()

Allocations

Returns of iShares MSCI Hong Kong Index Fund (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares MSCI Hong Kong Index Fund 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.