Description

The investment seeks investment results that correspond generally to the performance, of the iSTOXX Developed and Emerging Markets ex USA PK VN Real Estate Index (the underlying index). The fund, using a passive or indexing investment approach, seeks investment results that correspond generally to the performance, of the underlying index, which is a free-float capitalization weighted index that provides exposure to publicly traded real estate securities in countries outside the United States, excluding Pakistan and Vietnam. It will invest at least 80% of its total assets in component securities of the underlying index.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 29.8%, which is smaller, thus worse compared to the benchmark SPY (60.7%) in the same period.
  • Compared with SPY (29.5%) in the period of the last 3 years, the total return, or performance of 43.5% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual return (CAGR) of 8.4% of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is smaller, thus worse.
  • Looking at annual return (CAGR) in of 22.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (9%).

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.'

Which means for our asset as example:
  • 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 smaller, thus better in comparison to the benchmark SPY (20.8%)
  • Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 18.2% is lower, thus better.

DownVol:

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

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 13.6%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
  • Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 12.8% is smaller, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.31 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is lower, thus worse.
  • Looking at Sharpe Ratio in of 1.09 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.27).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 0.44, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 1.55, which is larger, thus better than the value of 0.37 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.'

Which means for our asset as example:
  • Looking at the Downside risk 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 (7.52 )
  • During the last 3 years, the Ulcer Index is 7.45 , which is smaller, thus better than the value of 8.81 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -27.4 days of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is larger, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.9 days is greater, thus better.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 320 days, which is greater, thus worse compared to the benchmark SPY (182 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark is 153 days, which is smaller, thus better than the value of 182 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.'

Using this definition on our asset we see for example:
  • The average time in days below previous high water mark over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 93 days, which is larger, thus worse compared to the benchmark SPY (45 days) in the same period.
  • During the last 3 years, the average days under water is 39 days, which is smaller, thus better than the value of 43 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.