SPDR DJ Wilshire Intl Real Estate (RWX)

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.'

• The total return, or increase in value over 5 years of SPDR DJ Wilshire Intl Real Estate is -6.4%, which is lower, thus worse compared to the benchmark SPY (74.4%) in the same period.
• Looking at total return in of 16.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (69.4%).

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -1.3% of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 5.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.3%).

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 30 days standard deviation of 15.6% in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17%)
• During the last 3 years, the 30 days standard deviation is 14.3%, which is smaller, thus better than the value of 15% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is 11%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside risk is 9.9%, which is lower, thus better than the value of 10.1% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of SPDR DJ Wilshire Intl Real Estate is -0.24, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• Compared with SPY (1.12) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.19 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.35 of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
• Compared with SPY (1.66) in the period of the last 3 years, the downside risk / excess return profile of 0.27 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.'

• The Ulcer Ratio over 5 years of SPDR DJ Wilshire Intl Real Estate is 21 , which is higher, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Looking at Ulcer Ratio in of 7.33 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.44 ).

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.'

• The maximum reduction from previous high over 5 years of SPDR DJ Wilshire Intl Real Estate is -35.9 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 drop from peak to valley is -19.1 days, which is lower, thus worse than the value of -18.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of SPDR DJ Wilshire Intl Real Estate is 1164 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 193 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

AveDuration:

'The Average 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. 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 days under water over 5 years of SPDR DJ Wilshire Intl Real Estate is 551 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 66 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20 days).