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:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (68.7%) in the period of the last 5 years, the total return of 11.9% of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
  • Compared with SPY (47.9%) in the period of the last 3 years, the total return, or increase in value of 10.6% is smaller, thus worse.

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:
  • Looking at the annual return (CAGR) of 2.3% 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 (11%)
  • During the last 3 years, the annual return (CAGR) is 3.4%, which is lower, thus worse than the value of 14% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the 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 (13.3%)
  • During the last 3 years, the historical 30 days volatility is 11.8%, which is smaller, thus better than the value of 12.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:
  • Looking at the downside volatility of 13.9% in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.6%)
  • Compared with SPY (14.2%) in the period of the last 3 years, the downside risk of 13.2% is lower, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.02 of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
  • Compared with SPY (0.91) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.08 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.02 of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
  • Compared with SPY (0.81) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.07 is lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 7.08 in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively higher, thus better in comparison to the benchmark SPY (3.96 )
  • Looking at Ulcer Ratio in of 6.12 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4.01 ).

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:
  • Looking at the maximum drop from peak to valley of -19.7 days 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 (-19.3 days)
  • During the last 3 years, the maximum reduction from previous high is -13.9 days, which is greater, 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). 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'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 650 days in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 330 days is greater, 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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 224 days in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 124 days is larger, 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.