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.'

• The total return over 5 years of SPDR DJ Euro STOXX 50 Etf is 50.8%, which is smaller, thus worse compared to the benchmark SPY (94.2%) in the same period.
• Looking at total return, or performance in of 17.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (27.9%).

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.'

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the annual return (CAGR) of 8.6% of SPDR DJ Euro STOXX 50 Etf is lower, thus worse.
• Looking at annual performance (CAGR) in of 5.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.6%).

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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 24.2% of SPDR DJ Euro STOXX 50 Etf is larger, thus worse.
• During the last 3 years, the volatility is 21.4%, which is higher, thus worse than the value of 17.3% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 17.6% 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%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 14.7% is greater, thus worse.

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 ratio of return and volatility (Sharpe) of 0.25 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 (0.56)
• Compared with SPY (0.35) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.14 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 0.35 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 (0.78)
• Looking at downside risk / excess return profile in of 0.2 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.5).

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 12 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 13 is higher, 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.'

• 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.
• During the last 3 years, the maximum drop from peak to valley is -35 days, which is lower, thus worse than the value of -24.5 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 365 days of SPDR DJ Euro STOXX 50 Etf is lower, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 365 days is lower, thus better.

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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days under water of 93 days of SPDR DJ Euro STOXX 50 Etf is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 108 days, which is lower, thus better than the value of 180 days from the benchmark.