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:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (63%) in the period of the last 5 years, the total return of 18.9% of SPDR DJ Euro STOXX 50 Etf is lower, thus worse.
  • Looking at total return in of 21.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.5%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual return (CAGR) of 3.5% of SPDR DJ Euro STOXX 50 Etf is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 6.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

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 30 days standard deviation over 5 years of SPDR DJ Euro STOXX 50 Etf is 24.1%, which is greater, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • Looking at historical 30 days volatility in of 28.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (25.1%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside volatility of 17.7% of SPDR DJ Euro STOXX 50 Etf is greater, thus worse.
  • Looking at downside volatility in of 20.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.1%).

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.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 0.04 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 (0.36)
  • Looking at Sharpe Ratio in of 0.15 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.3).

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:
  • Looking at the ratio of annual return and downside deviation of 0.06 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 (0.5)
  • Compared with SPY (0.42) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.2 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of SPDR DJ Euro STOXX 50 Etf is 13 , which is larger, thus worse compared to the benchmark SPY (8.88 ) in the same period.
  • Compared with SPY (11 ) in the period of the last 3 years, the Downside risk index of 15 is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -38.9 days of SPDR DJ Euro STOXX 50 Etf is lower, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -38.2 days is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 467 days in the last 5 years of SPDR DJ Euro STOXX 50 Etf, we see it is relatively higher, thus worse in comparison to the benchmark SPY (273 days)
  • Compared with SPY (273 days) in the period of the last 3 years, the maximum days under water of 312 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average days below previous high of 156 days of SPDR DJ Euro STOXX 50 Etf is higher, thus worse.
  • Looking at average time in days below previous high water mark in of 104 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (73 days).

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.