Description

The World Country Africa strategy is a sub-strategy that picks the top country of the specified region. It is part of the World Top 4 investment strategy.

Methodology & Assets

AFK Market Vectors Africa Index
EGPT Market Vectors Egypt Index
EIS iShares MSCI Israel
EZA iShares MSCI South Africa Index
FM iShares MSCI Frontier Markets ETF
FRN Guggenheim BNY Mellon Frontier Mkts
GULF WisdomTree Middle East Dividend Index
GREK Global X FTSE Greece 20
RSX Market Vectors DAXglobal Russia
TUR iShares MSCI Turkey

From the HEDGE strategy:
GLD – SPDR Gold Shares
TLT– iShares Barclays Long-Term Treasuries (15-18yr)

Short Sectors:

SMN - ProShares UltraShort Basic Materials
ERY - Direxion Daily Energy Bear 3X ETF
SKF - ProShares UltraShort Financials
SIJ - ProShares UltraShort Industrial
REW - ProShares UltraShort Technology
RXD - ProShares UltraShort Health Car
SCC - ProShares UltraShort Consumer Service
SDP - ProShares UltraShort Utilities
SZK - ProShares UltraShort Consumer Goods

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of 36.8% in the last 5 years of World Countries Africa, we see it is relatively lower, thus worse in comparison to the benchmark SPY (107.7%)
  • During the last 3 years, the total return, or performance is 4.4%, which is smaller, thus worse than the value of 33.8% 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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 6.5% in the last 5 years of World Countries Africa, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 1.5%, which is smaller, thus worse than the value of 10.2% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 17.4% of World Countries Africa is lower, thus better.
  • During the last 3 years, the 30 days standard deviation is 13.8%, which is smaller, thus better than the value of 17.5% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 13.5% in the last 5 years of World Countries Africa, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.9%)
  • Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 10.2% is lower, thus better.

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:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the Sharpe Ratio of 0.23 of World Countries Africa is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.08, which is smaller, thus worse than the value of 0.44 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of World Countries Africa is 0.3, which is lower, thus worse compared to the benchmark SPY (0.89) in the same period.
  • During the last 3 years, the downside risk / excess return profile is -0.1, which is lower, thus worse than the value of 0.63 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of World Countries Africa is 17 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 18 is larger, thus worse.

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:
  • 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 reduction from previous high 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 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 time in days below previous high water mark of 666 days in the last 5 years of World Countries Africa, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
  • During the last 3 years, the maximum days under water is 666 days, which is higher, 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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of World Countries Africa is 231 days, which is higher, thus worse compared to the benchmark SPY (123 days) in the same period.
  • During the last 3 years, the average days below previous high is 305 days, which is greater, thus worse than the value of 178 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 Countries Africa are hypothetical and do not account for slippage, fees or taxes.
  • Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.