Description

The World Country Developed 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

SPY SPDR S&P 500 ETF
DIA SPDR Dow Jones Industrial Average ETF
EIRL iShares MSCI Ireland Capped
EIS iShares MSCI Israel
ENZL iShares MSCI New Zealand Investable Market
EPOL iShares MSCI Poland Index
EWA iShares MSCI Australia Index Fund
EWC iShares MSCI Canada Index Fund
EWD iShares MSCI Sweden Index
EWG iShares MSCI Germany Index
EWH iShares MSCI Hong Kong Index Fund
EWI iShares MSCI Italy Index
EWJ iShares MSCI Japan Index Fund
EWK iShares MSCI Belgium Index
EWL iShares MSCI Switzerland
EWM iShares MSCI Malaysia Index Fund
EWN iShares MSCI Netherlands Index
EWO iShares MSCI Austria Index
EWP iShares MSCI Spain Index
EWQ iShares MSCI France
EWU iShares MSCI United Kingdom Index
NORW Global X FTSE Norway 30 ETF
QQQ PowerShares Nasdaq-100 Index

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (101.9%) in the period of the last 5 years, the total return, or performance of 182.7% of World Countries Developed is larger, thus better.
  • Looking at total return, or increase in value in of 42.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (33.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.1%) in the period of the last 5 years, the annual return (CAGR) of 23.1% of World Countries Developed is higher, thus better.
  • During the last 3 years, the annual return (CAGR) is 12.6%, which is larger, thus better than the value of 10.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 22.8% in the last 5 years of World Countries Developed, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
  • Looking at 30 days standard deviation in of 18.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.5%).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 15.9% in the last 5 years of World Countries Developed, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
  • Looking at downside risk in of 12.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

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.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 0.91 in the last 5 years of World Countries Developed, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.6)
  • During the last 3 years, the Sharpe Ratio is 0.54, which is larger, thus better than the value of 0.44 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of World Countries Developed is 1.3, which is larger, thus better compared to the benchmark SPY (0.84) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.79 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.62).

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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of World Countries Developed is 6.68 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 6.92 , which is lower, thus better than the value of 10 from the benchmark.

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 reduction from previous high of -28.6 days in the last 5 years of World Countries Developed, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum DrawDown in of -17.3 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-24.5 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of World Countries Developed is 263 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark is 263 days, which is smaller, thus better than the value of 488 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 under water of 52 days in the last 5 years of World Countries Developed, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
  • Compared with SPY (177 days) in the period of the last 3 years, the average days under water of 71 days is lower, 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 Developed 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.