XTrackers MSCI South Korea Hedged Equity ETF (DBKO)

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.'

• The total return, or performance over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 19.9%, which is lower, thus worse compared to the benchmark SPY (76.8%) in the same period.
• During the last 3 years, the total return, or performance is 21.4%, which is lower, thus worse than the value of 72.4% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the annual performance (CAGR) of 3.7% of XTrackers MSCI South Korea Hedged Equity ETF is smaller, thus worse.
• Looking at annual performance (CAGR) in of 6.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 14.3% of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 13.7%, which is smaller, thus better than the value of 15.2% 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.'

• Compared with the benchmark SPY (11.8%) 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.
• During the last 3 years, the downside volatility is 9.9%, which is smaller, thus better than the value of 10.1% 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.'

• Compared with the benchmark SPY (0.56) 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.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.31, which is smaller, thus worse than the value of 1.15 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.'

• 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 (0.82) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.42, which is smaller, thus worse than the value of 1.72 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.'

• 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 (8.45 )
• During the last 3 years, the Ulcer Index is 11 , which is larger, thus worse than the value of 3.5 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• 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 larger, 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 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 under water of 451 days of XTrackers MSCI South Korea Hedged Equity ETF is lower, thus better.
• 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 87 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.'

• The average time in days below previous high water mark over 5 years of XTrackers MSCI South Korea Hedged Equity ETF is 173 days, which is higher, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days under water is 155 days, which is greater, thus worse than the value of 20 days from the benchmark.