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:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • Looking at the total return of 43.8% in the last 5 years of World Countries Asia, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.6%)
  • Compared with SPY (32.1%) in the period of the last 3 years, the total return, or increase in value of 56.6% is greater, thus better.

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:
  • The compounded annual growth rate (CAGR) over 5 years of World Countries Asia is 7.5%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
  • Compared with SPY (9.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 16.1% is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the volatility of 18.5% of World Countries Asia is lower, thus better.
  • Looking at historical 30 days volatility in of 20.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (24.8%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside volatility of 13.4% of World Countries Asia is smaller, thus better.
  • Looking at downside volatility in of 14.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.9%).

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 (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.27 of World Countries Asia is lower, thus worse.
  • Compared with SPY (0.29) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.67 is larger, thus better.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Which means for our asset as example:
  • Looking at the excess return divided by the downside deviation of 0.38 in the last 5 years of World Countries Asia, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.5)
  • During the last 3 years, the downside risk / excess return profile is 0.94, which is larger, thus better than the value of 0.4 from the benchmark.

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 (8.52 ) in the period of the last 5 years, the Downside risk index of 14 of World Countries Asia is larger, thus worse.
  • Looking at Ulcer Ratio in of 9.93 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of World Countries Asia is -36.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -28 days, which is higher, thus better than the value of -33.7 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:
  • Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum days below previous high of 648 days of World Countries Asia is larger, thus worse.
  • During the last 3 years, the maximum days under water is 151 days, which is lower, thus better than the value of 235 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 200 days in the last 5 years of World Countries Asia, we see it is relatively higher, thus worse in comparison to the benchmark SPY (55 days)
  • Compared with SPY (59 days) in the period of the last 3 years, the average days below previous high of 40 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, 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.