SPDR DJ Wilshire Intl Real Estate (RWX)

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, or performance over 5 years of SPDR DJ Wilshire Intl Real Estate is -15.7%, which is lower, thus worse compared to the benchmark SPY (62.7%) in the same period.
• Compared with SPY (34.7%) in the period of the last 3 years, the total return, or increase in value of -25.2% is lower, 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.'

• Looking at the annual performance (CAGR) of -3.4% 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 (10.2%)
• Compared with SPY (10.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -9.2% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is 18%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• Looking at 30 days standard deviation in of 21.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (24.1%).

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.'

• The downside volatility over 5 years of SPDR DJ Wilshire Intl Real Estate is 13.7%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
• During the last 3 years, the downside risk is 16.6%, which is lower, thus better than the value of 17.6% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of SPDR DJ Wilshire Intl Real Estate is -0.33, which is lower, thus worse compared to the benchmark SPY (0.37) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.54 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.33).

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 (0.51) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.43 of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.71, which is smaller, thus worse than the value of 0.45 from the benchmark.

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 Wilshire Intl Real Estate is 13 , which is higher, thus worse compared to the benchmark SPY (7.71 ) in the same period.
• Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.08 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -43.4 days of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
• Looking at maximum reduction from previous high in of -43.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (189 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 418 days of SPDR DJ Wilshire Intl Real Estate is greater, thus worse.
• During the last 3 years, the maximum days under water is 328 days, which is larger, thus worse than the value of 189 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.'

• Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average time in days below previous high water mark of 154 days of SPDR DJ Wilshire Intl Real Estate is higher, thus worse.
• Looking at average days below previous high in of 134 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).