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 (86.8%) in the period of the last 5 years, the total return, or performance of 26.7% of World Countries Africa is lower, thus worse.
• Compared with SPY (26.3%) in the period of the last 3 years, the total return, or increase in value of 14.7% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 4.8% in the last 5 years of World Countries Africa, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.3%)
• Looking at annual performance (CAGR) in of 4.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.1%).

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.'

• Looking at the 30 days standard deviation of 17.9% in the last 5 years of World Countries Africa, we see it is relatively lower, thus better in comparison to the benchmark SPY (20.9%)
• Looking at 30 days standard deviation in of 14.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.3%).

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 14% of World Countries Africa is smaller, thus better.
• During the last 3 years, the downside volatility is 10.5%, which is lower, thus better than the value of 12.1% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.13 of World Countries Africa is lower, thus worse.
• Looking at Sharpe Ratio in of 0.15 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.32).

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.'

• Looking at the downside risk / excess return profile of 0.17 in the last 5 years of World Countries Africa, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.72)
• Looking at excess return divided by the downside deviation in of 0.21 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

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 Index over 5 years of World Countries Africa is 16 , which is greater, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Ulcer Ratio in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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.'

• The maximum drop from peak to valley 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 drop from peak to valley in of -31.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of World Countries Africa is 508 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 508 days, which is greater, thus worse than the value of 488 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.'

• The average days below previous high over 5 years of World Countries Africa is 163 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average days below previous high is 191 days, which is greater, thus worse than the value of 178 days from the benchmark.