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 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 performance of 110.4% in the last 5 years of World Countries Asia, we see it is relatively higher, thus better in comparison to the benchmark SPY (96.4%)
  • Compared with SPY (34.9%) in the period of the last 3 years, the total return, or increase in value of 38.2% is greater, 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.'

Which means for our asset as example:
  • The annual return (CAGR) over 5 years of World Countries Asia is 16.1%, which is higher, thus better compared to the benchmark SPY (14.5%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 11.4%, which is greater, thus better than the value of 10.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of World Countries Asia is 18%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 15.4%, which is lower, thus better than the value of 17.3% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside risk of 12.8% in the last 5 years of World Countries Asia, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
  • Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 10.8% is smaller, 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:
  • The Sharpe Ratio over 5 years of World Countries Asia is 0.75, which is larger, thus better compared to the benchmark SPY (0.57) in the same period.
  • Compared with SPY (0.46) in the period of the last 3 years, the Sharpe Ratio of 0.58 is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of World Countries Asia is 1.06, which is larger, thus better compared to the benchmark SPY (0.8) in the same period.
  • Looking at excess return divided by the downside deviation in of 0.82 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.66).

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:
  • Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 12 of World Countries Asia is greater, thus worse.
  • Looking at Ulcer Ratio in of 14 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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.'

Which means for our asset as example:
  • Looking at the maximum DrawDown 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 drop from peak to valley 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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of World Countries Asia is 434 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
  • During the last 3 years, the maximum days under water is 434 days, which is smaller, 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:
  • Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days below previous high of 107 days of World Countries Asia is smaller, thus better.
  • Looking at average days under water in of 148 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (180 days).

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, 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.