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:

'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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of World Countries Developed is 120.1%, which is smaller, thus worse compared to the benchmark SPY (122%) in the same period.
  • Compared with SPY (61%) in the period of the last 3 years, the total return, or performance of 39.9% is smaller, thus worse.

CAGR:

'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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 17.1% in the last 5 years of World Countries Developed, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (17.3%)
  • Compared with SPY (17.2%) in the period of the last 3 years, the annual performance (CAGR) of 11.8% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the 30 days standard deviation of 19.4% of World Countries Developed is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 23.6%, which is greater, thus worse than the value of 22.5% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • The downside volatility over 5 years of World Countries Developed is 13.8%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • During the last 3 years, the downside risk is 16.9%, which is higher, thus worse than the value of 16.3% from the benchmark.

Sharpe:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.75 of World Countries Developed is smaller, thus worse.
  • Compared with SPY (0.65) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.4 is lower, thus worse.

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 excess return divided by the downside deviation over 5 years of World Countries Developed is 1.06, which is smaller, thus worse compared to the benchmark SPY (1.09) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.55, which is smaller, thus worse than the value of 0.9 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of World Countries Developed is 6.03 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Index of 7.53 is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -36.3 days in the last 5 years of World Countries Developed, we see it is relatively lower, 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 DrawDown of -36.3 days is smaller, 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 182 days in the last 5 years of World Countries Developed, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum days below previous high in of 182 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 31 days in the last 5 years of World Countries Developed, we see it is relatively smaller, thus better in comparison to the benchmark SPY (33 days)
  • Looking at average days below previous high in of 42 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (34 days).

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 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.