World Countries Africa

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (106.8%) in the period of the last 5 years, the total return of 39.9% of World Countries Africa is smaller, thus worse.
• Compared with SPY (71.9%) in the period of the last 3 years, the total return, or increase in value of 8.6% is lower, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of World Countries Africa is 6.9%, which is lower, thus worse compared to the benchmark SPY (15.7%) in the same period.
• Compared with SPY (19.8%) in the period of the last 3 years, the annual return (CAGR) of 2.8% 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.'

• The historical 30 days volatility over 5 years of World Countries Africa is 18.2%, which is lower, thus better compared to the benchmark SPY (18.9%) in the same period.
• Looking at volatility in of 20.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.9%).

DownVol:

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

• Looking at the downside deviation of 14.1% in the last 5 years of World Countries Africa, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.8%)
• Looking at downside volatility in of 16.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.9%).

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.'

• Compared with the benchmark SPY (0.69) in the period of the last 5 years, the Sharpe Ratio of 0.24 of World Countries Africa is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

• Compared with the benchmark SPY (0.95) in the period of the last 5 years, the downside risk / excess return profile of 0.31 of World Countries Africa is smaller, thus worse.
• Compared with SPY (1.09) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.02 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Downside risk index of 11 of World Countries Africa is higher, thus worse.
• Looking at Ulcer Ratio in of 14 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.08 ).

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.'

• The maximum DrawDown over 5 years of World Countries Africa is -37.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -37.1 days in the period of the last 3 years, we see it is relatively smaller, 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 (139 days) in the period of the last 5 years, the maximum days below previous high of 427 days of World Countries Africa is larger, thus worse.
• During the last 3 years, the maximum days under water is 349 days, which is higher, thus worse than the value of 119 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 (32 days) in the period of the last 5 years, the average time in days below previous high water mark of 137 days of World Countries Africa is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 123 days, which is greater, thus worse than the value of 22 days from the benchmark.