Table 6

Risk-adjusted return ratios before and after the COVID-19 pandemic

DescriptionVTCQQQFXIGXCMCHI
Calmar
  Before COVID-190.9710.5870.2640.4870.436
  After COVID-190.9700.5860.2640.4860.435
Martin
  Before COVID-194.8082.8572.3313.1233.152
  After COVID-194.4371.119−0.1910.5460.537
Omega
  Before COVID-191.1351.1071.0811.1091.109
  After COVID-191.1341.0160.9800.9990.999
Sharpe
  Before COVID-190.6460.5610.3780.5510.547
  After COVID-190.6900.009−0.243−0.114−0.112

Note(s): This table compares the risk-adjusted return performance of four Chinese ETFs (CQQQ, FXI, GXC, MCHI) using Calmar, Martin, Omega, and Sharpe ratios across two periods: pre-COVID-19 (9/09/2014 to 1/02/2020) and post-COVID-19 (1/02/2020 to 6/09/2024). Based on all four measures, the Chinese ETFs were outperformed by VT in both periods. While CQQQ came closest to VT in several ratios before COVID-19, post-pandemic results showed a marked decline across all Chinese ETFs, especially in the Sharpe and Martin ratios, where some exhibited negative returns

Source(s): All four measures were calculated in the online lab developed by Shevchenko (2024) on 10 September 2024. Each daily measure utilizes a one-year lookback period, averaged over each period, and the risk-free interest rate is based on the average yield of 90-day Treasury bills
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