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China

Last updated Mar 2, 2024

1. China: CNYA, MCHI

Asset Allocation


CNYA 50%MCHI 50%EquityEquity
PositionCategory/SectorWeight
CNYA
iShares MSCI China A ETF
China Equities

50%

MCHI
iShares MSCI China ETF
China Equities

50%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in China, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%50.00%100.00%150.00%OctoberNovemberDecember2024FebruaryMarch
18.62%
147.99%
China
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 15, 2016, corresponding to the inception date of CNYA

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
China-0.60%11.81%-8.69%-18.48%-3.54%N/A
CNYA
iShares MSCI China A ETF
1.55%13.65%-5.78%-18.11%-0.25%N/A
MCHI
iShares MSCI China ETF
-2.72%9.96%-11.51%-18.85%-7.04%0.53%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-9.24%8.13%
2023-8.87%-2.54%-3.74%1.47%-1.93%

Sharpe Ratio

The current China Sharpe ratio is -0.87. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

0.002.004.00-0.87

The Sharpe ratio of China is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-2.00-1.000.001.002.00OctoberNovemberDecember2024FebruaryMarch
-0.87
2.44
China
Benchmark (^GSPC)
Portfolio components

Dividend yield

China granted a 3.88% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
China3.88%3.86%2.42%1.07%1.04%1.32%2.75%1.26%1.51%1.38%1.17%1.19%
CNYA
iShares MSCI China A ETF
4.16%4.23%2.69%1.11%1.06%1.21%3.92%0.97%1.38%0.00%0.00%0.00%
MCHI
iShares MSCI China ETF
3.59%3.49%2.14%1.03%1.03%1.44%1.58%1.54%1.64%2.76%2.35%2.37%

Expense Ratio

The China has a high expense ratio of 0.60%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.60%
0.50%1.00%1.50%2.00%0.59%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
China
-0.87
CNYA
iShares MSCI China A ETF
-1.03
MCHI
iShares MSCI China ETF
-0.69

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

CNYAMCHI
CNYA1.000.73
MCHI0.731.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-49.68%
0
China
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the China. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the China was 54.99%, occurring on Feb 2, 2024. The portfolio has not yet recovered.

The current China drawdown is 49.68%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.99%Feb 18, 2021745Feb 2, 2024
-33.7%Jan 29, 2018235Jan 3, 2019378Jul 6, 2020613
-8.82%Sep 23, 201667Dec 28, 201636Feb 21, 2017103
-7.3%Sep 2, 20206Sep 10, 202022Oct 12, 202028
-7.13%Nov 22, 201711Dec 7, 201717Jan 3, 201828

Volatility Chart

The current China volatility is 7.33%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%OctoberNovemberDecember2024FebruaryMarch
7.33%
3.47%
China
Benchmark (^GSPC)
Portfolio components
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