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 (61.3%) in the period of the last 5 years, the total return, or performance of -30.9% of iShares China Large-Cap ETF is smaller, thus worse.
• Looking at total return, or increase in value in of -27.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.6%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares China Large-Cap ETF is -7.1%, which is smaller, thus worse compared to the benchmark SPY (10%) in the same period.
• During the last 3 years, the annual return (CAGR) is -10.3%, which is lower, thus worse than the value of 9.6% from the benchmark.

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 30 days standard deviation of 28.2% 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 (20.8%)
• During the last 3 years, the 30 days standard deviation is 31.8%, which is larger, thus worse than the value of 24% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of iShares China Large-Cap ETF is 19.3%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
• During the last 3 years, the downside volatility is 21.4%, which is greater, thus worse than the value of 17.6% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of iShares China Large-Cap ETF is -0.34, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.4, which is smaller, thus worse than the value of 0.3 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.'

• Looking at the ratio of annual return and downside deviation of -0.5 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 (0.49)
• During the last 3 years, the excess return divided by the downside deviation is -0.6, which is smaller, thus worse than the value of 0.4 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.'

• Looking at the Downside risk index of 23 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 (7.61 )
• During the last 3 years, the Ulcer Index is 24 , which is larger, thus worse than the value of 8.93 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -50.4 days of iShares China Large-Cap ETF is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -50.4 days, which is lower, thus worse 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 China Large-Cap ETF is 748 days, which is higher, thus worse compared to the benchmark SPY (185 days) in the same period.
• Compared with SPY (185 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 407 days is greater, 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 time in days below previous high water mark of 297 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 (46 days)
• Compared with SPY (44 days) in the period of the last 3 years, the average days under water of 131 days is higher, thus worse.