Description

DELISTED - Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF

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:
  • Looking at the total return, or performance of 30.5% 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 (77.4%)
  • Compared with SPY (43.3%) in the period of the last 3 years, the total return, or performance of 43.5% is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 8.6% 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 (12.1%)
  • 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 (12.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation 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 (19%)
  • During the last 3 years, the historical 30 days volatility is 18.2%, which is smaller, thus better than the value of 22% from the benchmark.

DownVol:

'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 deviation over 5 years of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is 13.5%, which is lower, thus better compared to the benchmark SPY (13.9%) in the same period.
  • Compared with SPY (16.2%) in the period of the last 3 years, the downside volatility 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.51) in the period of the last 5 years, the Sharpe Ratio of 0.32 of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is smaller, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.09, which is higher, thus better than the value of 0.46 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of 0.45 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 (0.7)
  • During the last 3 years, the downside risk / excess return profile is 1.55, which is higher, thus better than the value of 0.63 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.87 ) 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.
  • During the last 3 years, the Ulcer Ratio is 7.45 , which is higher, thus worse than the value of 7.01 from the benchmark.

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.'

Which means for our asset as 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.
  • During the last 3 years, the maximum drop from peak to valley is -18.9 days, which is larger, thus better than the value of -33.7 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 320 days of Xtrackers MSCI Asia Pacific ex Japan Hedged Equity ETF is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 153 days, which is higher, thus worse than the value of 139 days from the benchmark.

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.'

Which means for our asset as example:
  • The average days under water 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 (37 days) in the same period.
  • Looking at average days below previous high in of 39 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (45 days).

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.