PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MCHI vs. FXI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MCHI and FXI is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

MCHI vs. FXI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI China ETF (MCHI) and iShares China Large-Cap ETF (FXI). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
18.73%
-5.34%
MCHI
FXI

Key characteristics

Sharpe Ratio

MCHI:

0.59

FXI:

0.94

Sortino Ratio

MCHI:

1.09

FXI:

1.56

Omega Ratio

MCHI:

1.14

FXI:

1.19

Calmar Ratio

MCHI:

0.32

FXI:

0.54

Martin Ratio

MCHI:

1.80

FXI:

3.32

Ulcer Index

MCHI:

10.58%

FXI:

9.47%

Daily Std Dev

MCHI:

32.28%

FXI:

33.59%

Max Drawdown

MCHI:

-62.84%

FXI:

-72.68%

Current Drawdown

MCHI:

-47.94%

FXI:

-39.72%

Returns By Period

In the year-to-date period, MCHI achieves a 16.55% return, which is significantly lower than FXI's 27.33% return. Over the past 10 years, MCHI has outperformed FXI with an annualized return of 1.34%, while FXI has yielded a comparatively lower -0.50% annualized return.


MCHI

YTD

16.55%

1M

-1.59%

6M

8.61%

1Y

17.66%

5Y*

-4.25%

10Y*

1.34%

FXI

YTD

27.33%

1M

-0.72%

6M

14.83%

1Y

29.69%

5Y*

-4.86%

10Y*

-0.50%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MCHI vs. FXI - Expense Ratio Comparison

MCHI has a 0.59% expense ratio, which is lower than FXI's 0.74% expense ratio.


FXI
iShares China Large-Cap ETF
Expense ratio chart for FXI: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
Expense ratio chart for MCHI: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Risk-Adjusted Performance

MCHI vs. FXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI China ETF (MCHI) and iShares China Large-Cap ETF (FXI). 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 ratio
The chart of Sharpe ratio for MCHI, currently valued at 0.59, compared to the broader market0.002.004.000.590.94
The chart of Sortino ratio for MCHI, currently valued at 1.09, compared to the broader market-2.000.002.004.006.008.0010.001.091.56
The chart of Omega ratio for MCHI, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.19
The chart of Calmar ratio for MCHI, currently valued at 0.32, compared to the broader market0.005.0010.0015.000.320.54
The chart of Martin ratio for MCHI, currently valued at 1.80, compared to the broader market0.0020.0040.0060.0080.00100.001.803.32
MCHI
FXI

The current MCHI Sharpe Ratio is 0.59, which is lower than the FXI Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of MCHI and FXI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.59
0.94
MCHI
FXI

Dividends

MCHI vs. FXI - Dividend Comparison

MCHI's dividend yield for the trailing twelve months is around 4.48%, more than FXI's 3.80% yield.


TTM20232022202120202019201820172016201520142013
MCHI
iShares MSCI China ETF
4.48%3.49%2.16%1.04%1.04%1.45%1.60%1.56%1.66%2.76%2.35%2.37%
FXI
iShares China Large-Cap ETF
3.80%3.17%2.61%1.60%2.19%2.74%2.69%2.31%2.69%2.90%2.51%2.64%

Drawdowns

MCHI vs. FXI - Drawdown Comparison

The maximum MCHI drawdown since its inception was -62.84%, smaller than the maximum FXI drawdown of -72.68%. Use the drawdown chart below to compare losses from any high point for MCHI and FXI. For additional features, visit the drawdowns tool.


-55.00%-50.00%-45.00%-40.00%-35.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-47.94%
-39.72%
MCHI
FXI

Volatility

MCHI vs. FXI - Volatility Comparison

iShares MSCI China ETF (MCHI) and iShares China Large-Cap ETF (FXI) have volatilities of 10.37% and 10.90%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.37%
10.90%
MCHI
FXI
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab