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 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 (85%)
• Looking at total return in of 43.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (24.7%).

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.'

• 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 (13.1%)
• Looking at annual performance (CAGR) in of 22.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (7.6%).

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.'

• Looking at the 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 (20.9%)
• Looking at volatility in of 18.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.3%).

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 smaller, thus better in comparison to the benchmark SPY (15%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 12.8% is larger, thus worse.

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.'

• 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 smaller, thus worse in comparison to the benchmark SPY (0.51)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.09, which is larger, thus better than the value of 0.3 from the benchmark.

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.'

• 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 (0.71)
• Looking at ratio of annual return and downside deviation in of 1.55 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.42).

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 (9.33 ) in the period of the last 5 years, the Downside risk index of 11 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is larger, thus worse.
• Looking at Ulcer Index in of 7.45 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.4 days of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is higher, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -18.9 days is larger, thus better.

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.'

• The maximum days below previous high over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 320 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 153 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 days).

AveDuration:

'The Average 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. 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.'

• The average days below previous high over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 93 days, which is smaller, thus better compared to the benchmark SPY (123 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 smaller, thus better than the value of 179 days from the benchmark.