Description

The World Country Asia 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

ASHR Deutsche X-Trackers CSI 300 China A Shares
DBKO Xtrackers MSCI South Korea Hdg Eq ETF
EIDO iShares MSCI Indonesia Index
EPHE iShares MSCI Philippines
EPI WisdomTree India Earnings Index
EWJ iShares MSCI Japan Index Fund
EWM iShares MSCI Malaysia Index Fund
EWS iShares MSCI Singapore Index
EWT iShares MSCI Taiwan Index Fund
EWY iShares MSCI South Korea Index Fund
EWZ iShares MSCI Brazil Index Fund
EZA iShares MSCI South Africa Index
FXI iShares FTSE China 25 Index Fund
IDX Market Vectors Indonesia
THD iShares MSCI Thailand Index
VNM Market Vectors Vietnam

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (106.9%) in the period of the last 5 years, the total return, or increase in value of 186.6% of World Countries Asia is higher, thus better.
  • Compared with SPY (33.1%) in the period of the last 3 years, the total return, or increase in value of 50.7% is larger, thus better.

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.'

Applying this definition to our asset in some examples:
  • The annual performance (CAGR) over 5 years of World Countries Asia is 23.5%, which is greater, thus better compared to the benchmark SPY (15.7%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (10%).

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:
  • The 30 days standard deviation over 5 years of World Countries Asia is 18.2%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
  • Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 15.8% is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • The downside risk over 5 years of World Countries Asia is 12.7%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 11% is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • The ratio of return and volatility (Sharpe) over 5 years of World Countries Asia is 1.15, which is larger, thus better compared to the benchmark SPY (0.63) in the same period.
  • Looking at Sharpe Ratio in of 0.77 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.43).

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:
  • Looking at the ratio of annual return and downside deviation of 1.65 in the last 5 years of World Countries Asia, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.88)
  • Looking at excess return divided by the downside deviation in of 1.1 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.61).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of World Countries Asia is 11 , which is greater, thus worse compared to the benchmark SPY (9.32 ) in the same period.
  • Looking at Downside risk index in of 13 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -29.3 days in the last 5 years of World Countries Asia, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum DrawDown is -29.3 days, which is lower, thus worse than the value of -24.5 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) in days.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 434 days of World Countries Asia is lower, thus better.
  • During the last 3 years, the maximum time in days below previous high water mark is 434 days, which is lower, thus better than the value of 488 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of World Countries Asia is 101 days, which is smaller, thus better compared to the benchmark SPY (123 days) in the same period.
  • Compared with SPY (177 days) in the period of the last 3 years, the average time in days below previous high water mark of 141 days is smaller, thus better.

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 Asia 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.