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.

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

'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:- Compared with the benchmark SPY (83.6%) in the period of the last 5 years, the total return, or performance of 130.7% of World Countries Developed is greater, thus better.
- During the last 3 years, the total return is 48.5%, which is higher, thus better than the value of 36.9% from the benchmark.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of World Countries Developed is 18.2%, which is larger, thus better compared to the benchmark SPY (12.9%) in the same period.
- Compared with SPY (11.1%) in the period of the last 3 years, the annual performance (CAGR) of 14.1% is greater, thus better.

'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:- The volatility over 5 years of World Countries Developed is 19.9%, which is larger, thus worse compared to the benchmark SPY (18.8%) in the same period.
- Looking at historical 30 days volatility in of 23.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.4%).

'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 risk over 5 years of World Countries Developed is 13.9%, which is larger, thus worse compared to the benchmark SPY (13.7%) in the same period.
- Compared with SPY (16.5%) in the period of the last 3 years, the downside volatility of 16.7% is greater, thus worse.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.79 of World Countries Developed is higher, thus better.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.5, which is greater, thus better than the value of 0.38 from the benchmark.

'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 ratio of annual return and downside deviation of 1.13 in the last 5 years of World Countries Developed, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.76)
- Looking at excess return divided by the downside deviation in of 0.7 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.52).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (5.78 ) in the period of the last 5 years, the Ulcer Index of 5.63 of World Countries Developed is lower, thus better.
- Compared with SPY (7.07 ) in the period of the last 3 years, the Ulcer Ratio of 6.96 is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -36.3 days of World Countries Developed is lower, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -36.3 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'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 Developed is 180 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 180 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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.'

Which means for our asset as example:- The average days under water over 5 years of World Countries Developed is 38 days, which is larger, thus worse compared to the benchmark SPY (37 days) in the same period.
- Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 45 days is larger, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

Allocations and holdings shown below are delayed by one month. To see current trading allocations of World Countries Developed, register now.

()

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of World Countries Developed 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.