Description

The World Country Top 4 Strategy is a momentum driven strategy that invests in the top four single country ETFs. It will add geographic diversity to your portfolio with significant non-U.S. equity exposure.

The strategy consists of four sub-strategies. Each sub-strategy invests in the best country ETF in a specific geographic area (i.e., Africa, Asia, Latin America, etc). These strategies are then combined to yield four country ETFs that come from different geographic segments, thus avoiding overconcentration. So even if one region is outperforming all the other areas, this strategy will still diversify among three additional top performing regions.

Like our other equity-based strategies, this strategy is hedged with a sub-strategy (HEDGE) that includes, amongst others, safe heaven assets like treasuries and gold.

Methodology & Assets

Country ETFs:

  • AFK Market Vectors Africa Index
  • ASHR Deutsche X-Trackers CSI 300 China A Shares
  • ECH iShares MSCI Chile Fund
  • EGPT Market Vectors Egypt Index
  • EIDO iShares MSCI Indonesia Index
  • EIRL iShares MSCI Ireland Capped
  • EIS iShares MSCI Israel
  • ENZL iShares MSCI New Zealand Investable Market
  • EPHE iShares MSCI Philippines
  • EPI WisdomTree India Earnings Index
  • EPOL iShares MSCI Poland Index
  • EPU iShares MSCI Peru Index
  • EWA iShares MSCI Australia Index Fund
  • EWC iShares MSCI Canada Index Fund
  • EWD iShares MSCI Sweden Index
  • EWG iShares MSCI Germany Index
  • EWH iShares MSCI Hong Kong Index Fund
  • EWI iShares MSCI Italy Index
  • EWJ iShares MSCI Japan Index Fund
  • EWK iShares MSCI Belgium Index
  • EWL iShares MSCI Switzerland
  • EWM iShares MSCI Malaysia Index Fund
  • EWN iShares MSCI Netherlands Index
  • EWO iShares MSCI Austria Index
  • EWP iShares MSCI Spain Index
  • EWQ iShares MSCI France
  • EWS iShares MSCI Singapore Index
  • EWT iShares MSCI Taiwan Index Fund
  • EWU iShares MSCI United Kingdom Index
  • EWW iShares MSCI Mexico Index Fund
  • EWY iShares MSCI South Korea Index Fund
  • EWZ iShares MSCI Brazil Index Fund
  • EZA iShares MSCI South Africa Index
  • FM iShares MSCI Frontier Markets ETF
  • FRN Guggenheim BNY Mellon Frontier Mkts
  • FXI iShares FTSE China 25 Index Fund
  • GAF SPDR S&P E.M. Middle East & Africa
  • GULF WisdomTree Middle East Dividend Index
  • GREK Global X FTSE Greece 20
  • GXG Global X Interbolsa FTSE Colombia 20
  • IDX Market Vectors Indonesia
  • MCHI iShares MSCI China Index
  • MES Market Vectors DJ Gulf States (GCC) Titans
  • NORW Global X FTSE Norway 30 ETF
  • QQQ PowerShares Nasdaq-100 Index
  • RSX Market Vectors DAXglobal Russia
  • THD iShares MSCI Thailand Index
  • TUR iShares MSCI Turkey
  • VNM Market Vectors Vietnam

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of World Top 4 Strategy is 77.8%, which is greater, thus better compared to the benchmark ACWI (33.3%) in the same period.
  • During the last 3 years, the total return, or increase in value is 57.1%, which is larger, thus better than the value of 24.1% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (5.9%) in the period of the last 5 years, the annual return (CAGR) of 12.2% of World Top 4 Strategy is higher, thus better.
  • Compared with ACWI (7.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 16.2% is higher, thus better.

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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of World Top 4 Strategy is 8.2%, which is lower, thus better compared to the benchmark ACWI (20.5%) in the same period.
  • Compared with ACWI (23.9%) in the period of the last 3 years, the historical 30 days volatility of 8.9% is lower, thus better.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside deviation of 5.9% in the last 5 years of World Top 4 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (15%)
  • Looking at downside deviation in of 6.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (17.4%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.17) in the period of the last 5 years, the Sharpe Ratio of 1.19 of World Top 4 Strategy is larger, thus better.
  • During the last 3 years, the risk / return profile (Sharpe) is 1.55, which is greater, thus better than the value of 0.21 from the benchmark.

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:
  • Compared with the benchmark ACWI (0.23) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.66 of World Top 4 Strategy is greater, thus better.
  • During the last 3 years, the downside risk / excess return profile is 2.16, which is higher, thus better than the value of 0.29 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 2.65 in the last 5 years of World Top 4 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (9.43 )
  • Compared with ACWI (11 ) in the period of the last 3 years, the Downside risk index of 3.08 is smaller, thus better.

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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of World Top 4 Strategy is -14.6 days, which is higher, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -14.6 days, which is larger, thus better than the value of -33.5 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'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 199 days in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (310 days)
  • During the last 3 years, the maximum days under water is 199 days, which is smaller, thus better than the value of 271 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:
  • Compared with the benchmark ACWI (88 days) in the period of the last 5 years, the average days below previous high of 39 days of World Top 4 Strategy is lower, thus better.
  • During the last 3 years, the average time in days below previous high water mark is 44 days, which is lower, thus better than the value of 73 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of World Top 4 Strategy 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.