iShares MSCI China ETF (MCHI)

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 of -12.3% in the last 5 years of iShares MSCI China ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (104.5%)
• Compared with SPY (57.9%) in the period of the last 3 years, the total return, or increase in value of 24.9% 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.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the annual return (CAGR) of -2.6% of iShares MSCI China ETF is lower, thus worse.
• Looking at annual return (CAGR) in of 7.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (16.5%).

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 volatility over 5 years of iShares MSCI China ETF is 31.1%, which is greater, thus worse compared to the benchmark SPY (17.5%) in the same period.
• Compared with SPY (17.2%) in the period of the last 3 years, the historical 30 days volatility of 30.3% is larger, thus worse.

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 (12.1%) in the period of the last 5 years, the downside volatility of 20.7% of iShares MSCI China ETF is larger, thus worse.
• Looking at downside deviation in of 20.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11.5%).

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.'

• Compared with the benchmark SPY (0.74) in the period of the last 5 years, the Sharpe Ratio of -0.16 of iShares MSCI China ETF is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.17, which is smaller, thus worse than the value of 0.81 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.'

• Compared with the benchmark SPY (1.07) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.25 of iShares MSCI China ETF is smaller, thus worse.
• Looking at downside risk / excess return profile in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.22).

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 Ulcer Ratio of 43 in the last 5 years of iShares MSCI China ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Ulcer Ratio in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.3 ).

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.'

• Looking at the maximum reduction from previous high of -62.8 days in the last 5 years of iShares MSCI China ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -33.7 days, which is lower, thus worse than the value of -18.8 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.'

• 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 1119 days of iShares MSCI China ETF is higher, thus worse.
• During the last 3 years, the maximum days under water is 422 days, which is higher, thus worse than the value of 199 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.'

• Looking at the average days below previous high of 511 days in the last 5 years of iShares MSCI China ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average time in days below previous high water mark is 140 days, which is greater, thus worse than the value of 47 days from the benchmark.