Description of iShares China Large-Cap ETF

iShares China Large-Cap ETF

Statistics of iShares China Large-Cap ETF (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 19.1% in the last 5 years of iShares China Large-Cap ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.6%)
  • Compared with SPY (51%) in the period of the last 3 years, the total return, or increase in value of 24% is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 3.6% of iShares China Large-Cap ETF is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 7.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.8%).

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.'

Which means for our asset as example:
  • Looking at the volatility of 22.9% in the last 5 years of iShares China Large-Cap ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at 30 days standard deviation in of 19.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

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.'

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of iShares China Large-Cap ETF is 23.4%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Looking at downside deviation in of 20.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of iShares China Large-Cap ETF is 0.05, which is smaller, thus worse compared to the benchmark SPY (0.63) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.26, which is lower, thus worse than the value of 0.96 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:
  • The downside risk / excess return profile over 5 years of iShares China Large-Cap ETF is 0.05, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 22 in the last 5 years of iShares China Large-Cap ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.99 )
  • Looking at Ulcer Ratio in of 15 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -44.6 days of iShares China Large-Cap ETF is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -28.2 days is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 683 days in the last 5 years of iShares China Large-Cap ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 456 days, which is larger, thus worse than the value of 139 days from the benchmark.

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:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 276 days of iShares China Large-Cap ETF is larger, thus worse.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 156 days is higher, thus worse.

Performance of iShares China Large-Cap ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares China Large-Cap ETF
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Allocations

Returns of iShares China Large-Cap ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares China Large-Cap ETF 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.