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

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.'

• Looking at the total return, or increase in value of 29.8% 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 (115.1%)
• Looking at total return, or performance in of 43.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.1%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 8.4%, which is smaller, thus worse compared to the benchmark SPY (16.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 22.3%, which is greater, thus better than the value of 19.7% from the benchmark.

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 larger, thus worse in comparison to the benchmark SPY (17.5%)
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 18.2% is larger, thus worse.

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 (12.1%)
• Compared with SPY (11.5%) in the period of the last 3 years, the downside deviation of 12.8% is greater, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 0.31 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 (0.8)
• Compared with SPY (0.98) in the period of the last 3 years, the ratio of return and volatility (Sharpe) 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.'

• Compared with the benchmark SPY (1.17) in the period of the last 5 years, the downside risk / excess return profile of 0.44 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 1.55 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.49).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 11 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is greater, 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 (5.31 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley 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 reduction from previous high is -18.9 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark of 320 days 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 (488 days)
• 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 93 days of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 39 days, which is lower, thus better than the value of 47 days from the benchmark.