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.'

• Compared with the benchmark SPY (68.2%) in the period of the last 5 years, the total return of 81.9% of World Countries Developed is higher, thus better.
• Looking at total return, or performance in of 73.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (47.7%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 12.7% of World Countries Developed is greater, thus better.
• Looking at annual performance (CAGR) in of 20.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.9%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the 30 days standard deviation of 12.9% in the last 5 years of World Countries Developed, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.2%)
• Looking at 30 days standard deviation in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.4%).

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.'

• Looking at the downside volatility of 15% in the last 5 years of World Countries Developed, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (14%) in the period of the last 3 years, the downside deviation of 13.8% is lower, thus better.

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 0.79 in the last 5 years of World Countries Developed, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.64)
• Looking at risk / return profile (Sharpe) in of 1.58 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.92).

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.'

• Looking at the excess return divided by the downside deviation of 0.68 in the last 5 years of World Countries Developed, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.58)
• Looking at ratio of annual return and downside deviation in of 1.28 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.81).

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.'

• Looking at the Ulcer Ratio of 6.79 in the last 5 years of World Countries Developed, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.95 )
• During the last 3 years, the Ulcer Ratio is 3.25 , which is lower, thus worse than the value of 4 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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -23.1 days of World Countries Developed is lower, thus worse.
• Looking at maximum DrawDown in of -13.6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-19.3 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.'

• The maximum days below previous high over 5 years of World Countries Developed is 393 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum days below previous high of 261 days is greater, thus worse.

AveDuration:

'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.'

• Looking at the average days below previous high of 108 days in the last 5 years of World Countries Developed, we see it is relatively greater, thus worse in comparison to the benchmark SPY (39 days)
• During the last 3 years, the average days under water is 65 days, which is larger, thus worse than the value of 33 days from the benchmark.