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 (98.1%) in the period of the last 5 years, the total return, or performance of -21% of iShares China Large-Cap ETF is lower, thus worse.
• Compared with SPY (35.3%) in the period of the last 3 years, the total return, or increase in value of -7.9% is smaller, thus worse.

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 -4.6%, which is lower, thus worse compared to the benchmark SPY (14.7%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -2.7%, which is lower, thus worse than the value of 10.6% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of iShares China Large-Cap ETF is 33%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 35.5% is larger, thus worse.

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.'

• The downside risk over 5 years of iShares China Large-Cap ETF is 21.9%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.2%) in the period of the last 3 years, the downside deviation of 22.6% is higher, thus worse.

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 Sharpe Ratio over 5 years of iShares China Large-Cap ETF is -0.22, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.15, which is smaller, thus worse than the value of 0.46 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.'

• The downside risk / excess return profile over 5 years of iShares China Large-Cap ETF is -0.33, which is smaller, thus worse compared to the benchmark SPY (0.81) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.23, which is smaller, thus worse than the value of 0.66 from the benchmark.

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.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 37 of iShares China Large-Cap ETF is larger, thus worse.
• During the last 3 years, the Downside risk index is 27 , which is higher, thus worse than the value of 10 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 drop from peak to valley of -60.8 days of iShares China Large-Cap ETF is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -46.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 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.'

• The maximum time in days below previous high water mark over 5 years of iShares China Large-Cap ETF is 968 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 734 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (488 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.'

• Looking at the average days under water of 388 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 (122 days)
• During the last 3 years, the average time in days below previous high water mark is 360 days, which is larger, thus worse than the value of 178 days from the benchmark.