SPDR DJ Euro STOXX 50 Etf (FEZ)

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.'

• Compared with the benchmark SPY (143%) in the period of the last 5 years, the total return, or performance of 133% of SPDR DJ Euro STOXX 50 Etf is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 59.3%, which is higher, thus better than the value of 39% 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.'

• Looking at the annual return (CAGR) of 18.5% in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (19.5%)
• Looking at annual performance (CAGR) in of 16.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (11.7%).

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.'

• Compared with the benchmark SPY (19.6%) in the period of the last 5 years, the volatility of 23.1% of SPDR DJ Euro STOXX 50 Etf is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 20.5%, which is greater, thus worse than the value of 17.1% 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.'

• The downside volatility over 5 years of SPDR DJ Euro STOXX 50 Etf is 15.9%, which is greater, thus worse compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the downside volatility is 13.7%, which is higher, thus worse than the value of 12% 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.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.69 of SPDR DJ Euro STOXX 50 Etf is lower, thus worse.
• Compared with SPY (0.54) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.7 is larger, thus better.

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 SPDR DJ Euro STOXX 50 Etf is 1.01, which is smaller, thus worse compared to the benchmark SPY (1.26) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.05, which is larger, thus better than the value of 0.77 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of SPDR DJ Euro STOXX 50 Etf is 11 , which is higher, thus worse compared to the benchmark SPY (8.32 ) in the same period.
• Looking at Downside risk index in of 8.58 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (8.6 ).

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 drop from peak to valley over 5 years of SPDR DJ Euro STOXX 50 Etf is -35 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -26.5 days, which is lower, thus worse than the value of -22.1 days from the benchmark.

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 195 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (325 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.'

• Looking at the average days below previous high of 91 days in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively lower, thus better in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average time in days below previous high water mark is 52 days, which is lower, thus better than the value of 90 days from the benchmark.