iShares MSCI Hong Kong Index Fund (EWH)

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.'

• Looking at the total return, or performance of 58.9% 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 (120.8%)
• Compared with SPY (66.3%) in the period of the last 3 years, the total return, or performance of 15.2% is smaller, thus worse.

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 (17.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 9.7% of iShares MSCI Hong Kong Index Fund is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 4.8%, which is smaller, thus worse than the value of 18.5% 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.'

• Looking at the volatility of 19.1% 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 (18.7%)
• Looking at 30 days standard deviation in of 22.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.4%).

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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 13.8% of iShares MSCI Hong Kong Index Fund is greater, thus worse.
• Compared with SPY (16.3%) in the period of the last 3 years, the downside risk of 16.1% is lower, thus better.

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.'

• The Sharpe Ratio over 5 years of iShares MSCI Hong Kong Index Fund is 0.38, which is smaller, thus worse compared to the benchmark SPY (0.78) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.1, which is lower, thus worse than the value of 0.71 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.52 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 (1.08)
• During the last 3 years, the ratio of annual return and downside deviation is 0.14, which is smaller, thus worse than the value of 0.98 from the benchmark.

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.'

• Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Downside risk index of 9.33 of iShares MSCI Hong Kong Index Fund is greater, thus worse.
• During the last 3 years, the Ulcer Index is 11 , which is greater, thus worse than the value of 6.83 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.'

• The maximum DrawDown over 5 years of iShares MSCI Hong Kong Index Fund is -31.1 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -31.1 days, which is higher, thus better than the value of -33.7 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of iShares MSCI Hong Kong Index Fund is 448 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days under water in of 448 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

• Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 132 days of iShares MSCI Hong Kong Index Fund is higher, thus worse.
• Looking at average days under water in of 160 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).