World Countries Developed

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.'

• Looking at the total return, or performance of 189.3% in the last 5 years of World Countries Developed, we see it is relatively greater, thus better in comparison to the benchmark SPY (97.5%)
• During the last 3 years, the total return, or increase in value is 52.6%, which is larger, thus better than the value of 25.6% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 23.7% in the last 5 years of World Countries Developed, we see it is relatively higher, thus better in comparison to the benchmark SPY (14.6%)
• Compared with SPY (7.9%) in the period of the last 3 years, the annual performance (CAGR) of 15.2% is higher, thus better.

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.'

• Compared with the benchmark SPY (18%) in the period of the last 5 years, the 30 days standard deviation of 19.7% of World Countries Developed is higher, thus worse.
• Looking at volatility in of 19% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.8%).

DownVol:

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

• Looking at the downside deviation of 13.5% in the last 5 years of World Countries Developed, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.6%)
• Looking at downside deviation in of 12.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 1.08 in the last 5 years of World Countries Developed, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.67)
• Looking at Sharpe Ratio in of 0.67 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.29).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.96) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.58 of World Countries Developed is greater, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 0.99, which is larger, thus better than the value of 0.42 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.'

• The Downside risk index over 5 years of World Countries Developed is 6 , which is lower, thus better compared to the benchmark SPY (8.41 ) in the same period.
• Compared with SPY (7.08 ) in the period of the last 3 years, the Downside risk index of 5.42 is lower, thus better.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -17.3 days of World Countries Developed is larger, thus better.
• Looking at maximum drop from peak to valley 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 (-19.2 days).

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 263 days of World Countries Developed is lower, thus better.
• Compared with SPY (290 days) in the period of the last 3 years, the maximum days below previous high of 194 days is lower, thus better.

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 (118 days) in the period of the last 5 years, the average days under water of 60 days of World Countries Developed is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 50 days, which is smaller, thus better than the value of 74 days from the benchmark.