Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF (DBAP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 29.8%, which is lower, thus worse compared to the benchmark SPY (109.8%) in the same period.
• During the last 3 years, the total return is 43.5%, which is larger, thus better than the value of 42.5% from the benchmark.

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 8.4% in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16%)
• Compared with SPY (12.6%) in the period of the last 3 years, the annual return (CAGR) of 22.3% is greater, thus better.

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.'

• Looking at the historical 30 days volatility of 19.3% in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.9%)
• During the last 3 years, the historical 30 days volatility is 18.2%, which is smaller, thus better than the value of 18.4% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 13.6% in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.5%)
• Compared with SPY (12.6%) in the period of the last 3 years, the downside deviation of 12.8% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 0.31, which is smaller, thus worse compared to the benchmark SPY (0.75) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.09 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.55).

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.'

• Looking at the downside risk / excess return profile of 0.44 in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.08)
• During the last 3 years, the ratio of annual return and downside deviation is 1.55, which is higher, thus better than the value of 0.8 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Index of 11 in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Downside risk index in of 7.45 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (5.54 ).

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 DrawDown of -27.4 days in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity 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 drop from peak to valley is -18.9 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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 days under water of 320 days of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is smaller, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 153 days, which is lower, thus better 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 time in days below previous high water mark of 93 days in the last 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• Compared with SPY (44 days) in the period of the last 3 years, the average days under water of 39 days is smaller, thus better.