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 (68.6%) in the period of the last 5 years, the total return, or increase in value of 19% of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
  • During the last 3 years, the total return, or increase in value is 27.8%, which is lower, thus worse than the value of 51% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 3.5% 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%)
  • Compared with SPY (14.8%) in the period of the last 3 years, the annual performance (CAGR) of 8.6% is smaller, thus worse.

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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is 12.9%, which is lower, thus better compared to the benchmark SPY (13.5%) in the same period.
  • During the last 3 years, the volatility is 9.7%, which is smaller, thus better than the value of 12.8% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is 13.9%, which is smaller, thus better compared to the benchmark SPY (14.9%) in the same period.
  • Looking at downside volatility in of 10.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of SPDR DJ Wilshire Intl Real Estate is 0.08, which is smaller, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 0.07 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 (0.57)
  • Looking at ratio of annual return and downside deviation in of 0.58 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

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.'

Applying this definition to our asset in some examples:
  • Looking at the Downside risk index of 6.93 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 (3.99 )
  • During the last 3 years, the Ulcer Ratio is 4.82 , which is greater, thus worse than the value of 4.1 from the benchmark.

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.'

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 drop from peak to valley of -19.8 days of SPDR DJ Wilshire Intl Real Estate is lower, thus worse.
  • During the last 3 years, the maximum DrawDown 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 under water of 650 days in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum time in days below previous high water mark 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high 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)
  • During the last 3 years, the average days below previous high is 132 days, which is higher, thus worse than the value of 36 days from the benchmark.

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 (%)

  • Note that yearly returns do not equal 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.