World Countries Developed

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.'

• The total return, or performance over 5 years of World Countries Developed is 200.3%, which is larger, thus better compared to the benchmark SPY (120.1%) in the same period.
• During the last 3 years, the total return is 83%, which is larger, thus better than the value of 65.1% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of World Countries Developed is 24.7%, which is larger, thus better compared to the benchmark SPY (17.1%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 22.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (18.3%).

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.'

• The historical 30 days volatility over 5 years of World Countries Developed is 19.3%, which is greater, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 18.8% is greater, thus worse.

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.'

• The downside deviation over 5 years of World Countries Developed is 13.1%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside deviation is 12.5%, which is higher, thus worse than the value of 11.6% from the benchmark.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.15 in the last 5 years of World Countries Developed, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.83)
• Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of 1.06 is larger, 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.'

• The excess return divided by the downside deviation over 5 years of World Countries Developed is 1.7, which is greater, thus better compared to the benchmark SPY (1.21) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.6 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.36).

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.'

• Looking at the Downside risk index of 5.99 in the last 5 years of World Countries Developed, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Downside risk index is 5.27 , which is smaller, thus better than the value of 5.31 from the benchmark.

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.'

• Looking at the maximum DrawDown of -17.3 days in the last 5 years of World Countries Developed, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -17.3 days, which is higher, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 263 days in the last 5 years of World Countries Developed, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 198 days, which is lower, thus better than the value of 199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 61 days of World Countries Developed is smaller, thus better.
• During the last 3 years, the average days below previous high is 46 days, which is lower, thus better than the value of 47 days from the benchmark.