Description of SPDR DJ Wilshire Intl Real Estate

SPDR DJ Wilshire Intl Real Estate ETF

Statistics of SPDR DJ Wilshire Intl Real Estate (YTD)

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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:
  • Looking at the total return, or performance of 23.2% in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.2%)
  • During the last 3 years, the total return, or increase in value is 12%, which is smaller, thus worse than the value of 47.7% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 4.3% of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
  • Compared with SPY (13.9%) in the period of the last 3 years, the annual performance (CAGR) of 3.8% is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 13% 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 (13.2%)
  • Compared with SPY (12.4%) in the period of the last 3 years, the 30 days standard deviation of 12% is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is 14%, which is lower, thus better compared to the benchmark SPY (14.6%) in the same period.
  • During the last 3 years, the downside deviation is 13.3%, which is lower, thus better than the value of 14% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.14 in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.64)
  • Looking at risk / return profile (Sharpe) in of 0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.92).

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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.13 in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • Compared with SPY (0.81) in the period of the last 3 years, the downside risk / excess return profile of 0.1 is smaller, 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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of SPDR DJ Wilshire Intl Real Estate is 7.05 , which is larger, thus better compared to the benchmark SPY (3.95 ) in the same period.
  • Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Index of 6.07 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -19.7 days of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
  • Looking at maximum DrawDown in of -13.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 650 days in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 288 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (131 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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of SPDR DJ Wilshire Intl Real Estate is 218 days, which is larger, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Compared with SPY (33 days) in the period of the last 3 years, the average days below previous high of 106 days is greater, thus worse.

Performance of SPDR DJ Wilshire Intl Real Estate (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR DJ Wilshire Intl Real Estate
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Allocations

Returns of SPDR DJ Wilshire Intl Real Estate (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of SPDR DJ Wilshire Intl Real Estate 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.