XTrackers MSCI South Korea Hedged Equity ETF (DBKO)

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.'

• The total return, or increase in value over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 19.9%, which is lower, thus worse compared to the benchmark SPY (101.3%) in the same period.
• During the last 3 years, the total return is 21.4%, which is lower, thus worse than the value of 77.2% from the benchmark.

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 performance (CAGR) of 3.7% 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 (15.1%)
• Compared with SPY (21.1%) in the period of the last 3 years, the annual performance (CAGR) of 6.7% is lower, thus worse.

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.'

• The 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 (17.1%) in the same period.
• Looking at historical 30 days volatility in of 13.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.6%).

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside risk of 10.3% of XTrackers MSCI South Korea Hedged Equity ETF is smaller, thus better.
• Compared with SPY (10.4%) in the period of the last 3 years, the downside risk of 9.9% is smaller, 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.'

• The ratio of return and volatility (Sharpe) over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 0.08, which is smaller, thus worse compared to the benchmark SPY (0.74) in the same period.
• 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 (1.19).

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 downside risk / excess return profile over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 0.12, which is lower, thus worse compared to the benchmark SPY (1.07) in the same period.
• Compared with SPY (1.79) in the period of the last 3 years, the downside risk / excess return profile of 0.42 is lower, thus worse.

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.'

• Looking at the Ulcer Ratio of 11 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 (8.41 )
• 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 (3.61 ).

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.'

• The maximum DrawDown over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is -23.6 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -23.6 days is smaller, thus worse.

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.'

• Compared with the benchmark SPY (488 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 lower, thus better.
• Looking at maximum days under water in of 451 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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.'

• 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 greater, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average time in days below previous high water mark in of 155 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).