Description

The investment seeks investment results that, before fees and expenses, correspond generally to the total return performance of the EURO STOXX 50® Index. The fund employs a sampling strategy, which means that the fund is not required to purchase all of the securities represented in the index. It generally invests substantially all, but at least 80%, of its total assets in the securities comprising the index. The index is designed to represent the performance of some of the largest companies across components of the 19 EURO STOXX Supersector Indexes. The EURO STOXX Supersector Indexes are subsets of the EURO STOXX Index.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • The total return over 5 years of SPDR DJ Euro STOXX 50 Etf is 8.7%, which is lower, thus worse compared to the benchmark SPY (78.4%) in the same period.
  • During the last 3 years, the total return, or increase in value is 9.8%, which is lower, thus worse than the value of 44.1% 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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of SPDR DJ Euro STOXX 50 Etf is 1.7%, which is lower, thus worse compared to the benchmark SPY (12.3%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 3.2%, which is lower, thus worse than the value of 12.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of SPDR DJ Euro STOXX 50 Etf is 22.1%, which is higher, thus worse compared to the benchmark SPY (19.9%) in the same period.
  • During the last 3 years, the volatility is 26%, which is greater, thus worse than the value of 23.1% 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 SPDR DJ Euro STOXX 50 Etf is 16.6%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Looking at downside risk in of 19.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.9%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.49) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.04 of SPDR DJ Euro STOXX 50 Etf is smaller, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.03, which is smaller, thus worse than the value of 0.45 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of SPDR DJ Euro STOXX 50 Etf is -0.05, which is lower, thus worse compared to the benchmark SPY (0.67) in the same period.
  • Compared with SPY (0.62) in the period of the last 3 years, the excess return divided by the downside deviation of 0.03 is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 11 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 (6.16 )
  • Compared with SPY (6.87 ) in the period of the last 3 years, the Ulcer Index of 11 is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of SPDR DJ Euro STOXX 50 Etf is -39.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -38.9 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 716 days of SPDR DJ Euro STOXX 50 Etf is higher, thus worse.
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 226 days is larger, thus worse.

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 (35 days) in the period of the last 5 years, the average days below previous high of 231 days of SPDR DJ Euro STOXX 50 Etf is larger, thus worse.
  • During the last 3 years, the average days under water is 63 days, which is higher, thus worse than the value of 27 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of SPDR DJ Euro STOXX 50 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.