XTrackers MSCI South Korea Hedged Equity ETF (DBKO)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 19.9% in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (105.3%)
• Looking at total return, or performance in of 21.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (93.8%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the annual performance (CAGR) of 3.7% of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus worse.
• Compared with SPY (24.8%) in the period of the last 3 years, the annual performance (CAGR) of 6.7% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 14.3%, which is lower, thus better compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the 30 days standard deviation is 13.7%, which is lower, thus better than the value of 16.3% 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.'

• The downside volatility over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 10.3%, which is smaller, thus better compared to the benchmark SPY (11.9%) in the same period.
• Looking at downside volatility in of 9.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.6%).

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.'

• Compared with the benchmark SPY (0.76) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.08 of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.37).

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.'

• The excess return divided by the downside deviation over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 0.12, which is lower, thus worse compared to the benchmark SPY (1.1) in the same period.
• Looking at downside risk / excess return profile in of 0.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.12).

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.'

• The Downside risk index over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 11 , which is higher, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.62 ) in the period of the last 3 years, the Ulcer Index of 11 is higher, thus worse.

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 -23.6 days in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -23.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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 days under water of 451 days in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 451 days is higher, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 173 days in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days below previous high in of 155 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).