Description

DELISTED - Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF

Statistics (YTD)

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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (46.1%) in the period of the last 5 years, the total return of 30.5% of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is smaller, thus worse.
  • During the last 3 years, the total return is 43.5%, which is higher, thus better than the value of 23.5% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (7.9%) in the period of the last 5 years, the annual performance (CAGR) of 8.6% of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is higher, thus better.
  • Looking at compounded annual growth rate (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 (7.3%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (18.3%) in the period of the last 5 years, the 30 days standard deviation of 19.3% of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is higher, thus worse.
  • Looking at historical 30 days volatility in of 18.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (20.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

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 13.5%, which is greater, thus worse compared to the benchmark SPY (13.4%) in the same period.
  • Compared with SPY (15.4%) in the period of the last 3 years, the downside risk of 12.8% is lower, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • The ratio of return and volatility (Sharpe) over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 0.32, which is greater, thus better compared to the benchmark SPY (0.29) in the same period.
  • Compared with SPY (0.23) in the period of the last 3 years, the Sharpe Ratio of 1.09 is larger, thus better.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.4) in the period of the last 5 years, the downside risk / excess return profile of 0.45 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is greater, thus better.
  • During the last 3 years, the excess return divided by the downside deviation is 1.55, which is greater, thus better than the value of 0.31 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.27 ) in the period of the last 5 years, the Ulcer Ratio of 11 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is higher, thus worse.
  • Looking at Ulcer 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 (6.08 ).

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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is -27.4 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 320 days of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is higher, thus worse.
  • During the last 3 years, the maximum days below previous high is 153 days, which is greater, thus worse than the value of 139 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.'

Applying this definition to our asset in some examples:
  • 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 higher, thus worse compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 39 days, which is larger, thus worse than the value of 36 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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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.