SPDR DJ Euro STOXX 50 Etf (FEZ)

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.'

• The total return over 5 years of SPDR DJ Euro STOXX 50 Etf is 36.6%, which is lower, thus worse compared to the benchmark SPY (91.2%) in the same period.
• Compared with SPY (30.8%) in the period of the last 3 years, the total return of 13% is lower, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of SPDR DJ Euro STOXX 50 Etf is 6.5%, which is smaller, thus worse compared to the benchmark SPY (13.9%) in the same period.
• During the last 3 years, the annual return (CAGR) is 4.2%, which is lower, thus worse than the value of 9.4% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 24.5% in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the historical 30 days volatility is 21.7%, which is larger, thus worse than the value of 17.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 17.7% in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 14.9%, which is higher, thus worse than the value of 12.3% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.16 in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
• Compared with SPY (0.4) in the period of the last 3 years, the Sharpe Ratio of 0.08 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 0.22 in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.76)
• Looking at downside risk / excess return profile in of 0.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

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.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 12 of SPDR DJ Euro STOXX 50 Etf is larger, thus worse.
• During the last 3 years, the Downside risk index is 12 , which is larger, thus worse than the value of 8.89 from the benchmark.

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 reduction from previous high of -38.7 days in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -33.1 days is smaller, thus worse.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 403 days of SPDR DJ Euro STOXX 50 Etf is lower, thus better.
• Looking at maximum days under water in of 309 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (375 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.'

• The average time in days below previous high water mark over 5 years of SPDR DJ Euro STOXX 50 Etf is 105 days, which is lower, thus better compared to the benchmark SPY (122 days) in the same period.
• Looking at average days below previous high in of 87 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (114 days).