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.'

• Looking at the total return, or increase in value of 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 (115.2%)
• Looking at total return, or increase in value in of 22.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (61.2%).

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.'

• Looking at the annual return (CAGR) of 1% 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 (16.6%)
• Compared with SPY (17.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of iShares China Large-Cap ETF is 32.2%, which is larger, thus worse compared to the benchmark SPY (17.7%) in the same period.
• Looking at 30 days standard deviation in of 32.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.9%).

DownVol:

'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.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside deviation of 20.9% of iShares China Large-Cap ETF is larger, thus worse.
• Compared with SPY (11.9%) in the period of the last 3 years, the downside risk of 21.6% 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 (0.8) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.05 of iShares China Large-Cap ETF is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.14, which is smaller, thus worse than the value of 0.83 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.'

• The excess return divided by the downside deviation over 5 years of iShares China Large-Cap ETF is -0.07, which is smaller, thus worse compared to the benchmark SPY (1.16) in the same period.
• Looking at downside risk / excess return profile in of 0.21 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.24).

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 38 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 (8.48 )
• Compared with SPY (5.33 ) in the period of the last 3 years, the Ulcer Ratio of 18 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -60.8 days of iShares China Large-Cap ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -38.6 days is smaller, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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 1084 days of iShares China Large-Cap ETF is higher, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 567 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.'

• The average time in days below previous high water mark over 5 years of iShares China Large-Cap ETF is 480 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 227 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (46 days).