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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 74% in the last 5 years of World Countries Asia, we see it is relatively lower, thus worse in comparison to the benchmark SPY (115.6%)
  • Compared with SPY (43%) in the period of the last 3 years, the total return, or increase in value of 4.1% is smaller, 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.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of World Countries Asia is 11.7%, which is lower, thus worse compared to the benchmark SPY (16.6%) in the same period.
  • Looking at annual return (CAGR) in of 1.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.6%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the volatility of 19.3% of World Countries Asia is higher, thus worse.
  • Compared with SPY (22.8%) in the period of the last 3 years, the volatility of 21.5% 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 Asia is 13.5%, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
  • Looking at downside deviation in of 15.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.7%).

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.'

Which means for our asset as example:
  • Looking at the risk / return profile (Sharpe) of 0.48 in the last 5 years of World Countries Asia, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.05, which is lower, thus worse than the value of 0.44 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.04) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.68 of World Countries Asia is lower, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is -0.07, which is lower, thus worse than the value of 0.61 from the benchmark.

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:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 12 of World Countries Asia is higher, thus worse.
  • During the last 3 years, the Downside risk index is 15 , which is larger, thus worse than the value of 7.14 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.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -45.6 days in the last 5 years of World Countries Asia, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -45.6 days is lower, thus worse.

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.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of World Countries Asia is 695 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days under water is 695 days, which is higher, thus worse than the value of 139 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.'

Which means for our asset as example:
  • Looking at the average days below previous high of 217 days in the last 5 years of World Countries Asia, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
  • During the last 3 years, the average days below previous high is 325 days, which is larger, thus worse than the value of 45 days from the benchmark.

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 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.