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:

'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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 19.9% 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 (129.1%)
  • During the last 3 years, the total return, or increase in value is 21.4%, which is lower, thus worse than the value of 71.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 3.7% 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 (18.1%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 6.7%, which is lower, thus worse than the value of 19.7% from the benchmark.

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.'

Which means for our asset as example:
  • 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 (18.7%) 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 22.5% 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.'

Which means for our asset as example:
  • The downside risk over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 10.3%, which is smaller, thus better compared to the benchmark SPY (13.6%) in the same period.
  • During the last 3 years, the downside volatility is 9.9%, which is lower, thus better than the value of 16.3% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.08 of XTrackers MSCI South Korea Hedged Equity ETF is smaller, 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 smaller, thus worse in comparison to SPY (0.76).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 0.12 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 (1.15)
  • Compared with SPY (1.05) in the period of the last 3 years, the downside risk / excess return profile of 0.42 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • 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 greater, thus worse in comparison to the benchmark SPY (5.59 )
  • Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.38 ).

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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is -23.6 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum reduction from previous high in of -23.6 days in the period of the last 3 years, we see it is relatively higher, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 451 days of XTrackers MSCI South Korea Hedged Equity ETF is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 451 days, which is larger, thus worse than the value of 119 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average time in days below previous high water mark of 173 days of XTrackers MSCI South Korea Hedged Equity ETF is larger, thus worse.
  • Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 155 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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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.