iShares China Large-Cap ETF (FXI)

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 (143%) in the period of the last 5 years, the total return, or performance of 13.6% of iShares China Large-Cap ETF is lower, thus worse.
• During the last 3 years, the total return is 34.7%, which is lower, thus worse than the value of 39% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares China Large-Cap ETF is 2.6%, which is lower, thus worse compared to the benchmark SPY (19.5%) in the same period.
• Looking at annual return (CAGR) in of 10.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.7%).

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.'

• Looking at the historical 30 days volatility of 32.8% 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 (19.6%)
• Looking at historical 30 days volatility in of 35.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.1%).

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 (13.5%) in the period of the last 5 years, the downside volatility of 21.4% of iShares China Large-Cap ETF is greater, thus worse.
• During the last 3 years, the downside risk is 22.1%, which is larger, thus worse than the value of 12% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0 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 (0.87)
• Compared with SPY (0.54) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.23 is lower, 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.'

• The downside risk / excess return profile over 5 years of iShares China Large-Cap ETF is 0, which is lower, thus worse compared to the benchmark SPY (1.26) in the same period.
• Compared with SPY (0.77) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.36 is lower, thus worse.

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.'

• The Downside risk index over 5 years of iShares China Large-Cap ETF is 37 , which is higher, thus worse compared to the benchmark SPY (8.32 ) in the same period.
• Compared with SPY (8.6 ) in the period of the last 3 years, the Downside risk index of 18 is larger, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -60.8 days of iShares China Large-Cap ETF is lower, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -38.7 days is lower, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1021 days of iShares China Large-Cap ETF is greater, thus worse.
• Looking at maximum days below previous high in of 625 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (325 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days below previous high of 428 days of iShares China Large-Cap ETF is higher, thus worse.
• Compared with SPY (90 days) in the period of the last 3 years, the average days below previous high of 271 days is higher, thus worse.