Description

The investment seeks investment results that correspond generally to the performance, before fees and expenses, of the MSCI Korea 25/50 US Dollar Hedged Index. The fund, using a passive or indexing investment approach, seeks investment results that correspond generally to the performance, before fees and expenses, of the underlying index, which is designed to track the performance of the South Korean equity market while mitigating exposure to fluctuations between the value of the U.S. dollar and the South Korean won. It will invest at least 80% of its total assets in component securities of the underlying index. The fund is non-diversified.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (62.7%) in the period of the last 5 years, the total return, or performance of 19.9% of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus worse.
  • 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 (34.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 3.7% of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus worse.
  • During the last 3 years, the annual performance (CAGR) is 6.7%, which is lower, thus worse than the value of 10.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the 30 days standard deviation of 14.3% of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus better.
  • Looking at 30 days standard deviation in of 13.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (24.1%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 10.3% of XTrackers MSCI South Korea Hedged Equity ETF is smaller, thus better.
  • Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 9.9% 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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 0.08 in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.37)
  • Looking at Sharpe Ratio in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.33).

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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 0.12 in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.51)
  • Looking at excess return divided by the downside deviation in of 0.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.45).

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.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 11 , which is larger, thus worse compared to the benchmark SPY (7.71 ) in the same period.
  • Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (9.08 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -23.6 days of XTrackers MSCI South Korea Hedged Equity ETF is larger, thus better.
  • Looking at maximum DrawDown in of -23.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (189 days) in the period of the last 5 years, the maximum days below previous high of 451 days of XTrackers MSCI South Korea Hedged Equity ETF is higher, thus worse.
  • Looking at maximum days under water in of 451 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (189 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 173 days in the last 5 years of XTrackers MSCI South Korea Hedged Equity ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (46 days)
  • During the last 3 years, the average days below previous high is 155 days, which is larger, thus worse than the value of 45 days from the benchmark.

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 South Korea 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.