iShares China Large-Cap ETF (FXI)

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 1.3% in the last 5 years of iShares China Large-Cap ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (124.1%)
• Compared with SPY (84%) in the period of the last 3 years, the total return, or increase in value of 106.1% is higher, thus better.

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.'

• The annual performance (CAGR) over 5 years of iShares China Large-Cap ETF is 0.3%, which is lower, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Looking at annual return (CAGR) in of 27.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (22.6%).

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 China Large-Cap ETF is 32%, which is higher, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at volatility in of 30.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16%).

DownVol:

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

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside deviation of 21% of iShares China Large-Cap ETF is higher, thus worse.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside deviation of 19.7% is larger, thus worse.

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 (0.88) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.07 of iShares China Large-Cap ETF is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.81, which is smaller, thus worse than the value of 1.26 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of -0.11 in the last 5 years of iShares China Large-Cap ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.29)
• Compared with SPY (1.91) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.26 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.'

• The Ulcer Index over 5 years of iShares China Large-Cap ETF is 38 , which is greater, thus worse compared to the benchmark SPY (8.41 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 16 , 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.'

• Looking at the maximum drop from peak to valley of -60.8 days in the last 5 years of iShares China Large-Cap ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum reduction from previous high in of -34.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1183 days of iShares China Large-Cap ETF is greater, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 421 days is larger, 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 565 days 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 (121 days)
• Looking at average days under water in of 139 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).