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, 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:
  • Looking at the total return, or increase in value of 51.6% in the last 5 years of World Countries Africa, we see it is relatively lower, thus worse in comparison to the benchmark SPY (124.9%)
  • Compared with SPY (60.5%) in the period of the last 3 years, the total return of 9% is smaller, 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 8.7% in the last 5 years of World Countries Africa, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (17.6%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 2.9%, which is lower, thus worse than the value of 17.1% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 18.2% of World Countries Africa is smaller, thus better.
  • Compared with SPY (22.6%) in the period of the last 3 years, the historical 30 days volatility of 21% is lower, thus better.

DownVol:

'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:
  • The downside volatility over 5 years of World Countries Africa is 14.1%, which is higher, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at downside deviation in of 16.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.4%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.81) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.34 of World Countries Africa is smaller, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.02, which is smaller, thus worse than the value of 0.65 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of World Countries Africa is 0.44, which is smaller, thus worse compared to the benchmark SPY (1.12) in the same period.
  • Compared with SPY (0.89) in the period of the last 3 years, the excess return divided by the downside deviation of 0.03 is lower, 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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of World Countries Africa is 11 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 14 , which is greater, thus worse than the value of 6.82 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -37.1 days of World Countries Africa is smaller, thus worse.
  • 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 lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 427 days in the last 5 years of World Countries Africa, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • Compared with SPY (128 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 349 days is greater, thus worse.

AveDuration:

'The Average 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. 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days below previous high of 137 days of World Countries Africa is greater, thus worse.
  • Looking at average days under water in of 124 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (33 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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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, 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.