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.'

• Compared with the benchmark SPY (77.6%) in the period of the last 5 years, the total return, or increase in value of 18.5% of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 25.7%, which is smaller, thus worse than the value of 53.5% 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.'

• The annual return (CAGR) over 5 years of SPDR DJ Wilshire Intl Real Estate is 3.5%, which is smaller, thus worse compared to the benchmark SPY (12.2%) in the same period.
• Compared with SPY (15.4%) in the period of the last 3 years, the annual return (CAGR) of 7.9% 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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 12.7% of SPDR DJ Wilshire Intl Real Estate is lower, thus better.
• Looking at volatility in of 9.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13%).

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 9.3%, which is smaller, thus better compared to the benchmark SPY (9.6%) in the same period.
• Looking at downside volatility in of 6.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.4%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.08 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 (0.73)
• Compared with SPY (0.99) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.57 is smaller, thus worse.

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.'

• The downside risk / excess return profile over 5 years of SPDR DJ Wilshire Intl Real Estate is 0.1, which is lower, thus worse compared to the benchmark SPY (1.01) in the same period.
• Compared with SPY (1.37) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.81 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Downside risk index over 5 years of SPDR DJ Wilshire Intl Real Estate is 6.91 , which is larger, thus worse compared to the benchmark SPY (3.97 ) in the same period.
• Looking at Ulcer Ratio in of 4.81 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -19.8 days of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -13.9 days, which is larger, thus better than the value of -19.3 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 (187 days) in the period of the last 5 years, the maximum days under water of 650 days of SPDR DJ Wilshire Intl Real Estate is larger, thus worse.
• During the last 3 years, the maximum days under water is 418 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 247 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 (42 days)
• Looking at average days below previous high in of 132 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (37 days).