Description of World Countries Developed

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 of World Countries Developed (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Looking at the total return of 122% in the last 5 years of World Countries Developed, we see it is relatively higher, thus better in comparison to the benchmark SPY (81.7%)
  • Looking at total return in of 58.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (54.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the annual performance (CAGR) of 17.3% of World Countries Developed is higher, thus better.
  • Looking at compounded annual growth rate (CAGR) in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (15.6%).

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of World Countries Developed is 13.9%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • Looking at historical 30 days volatility in of 11.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 16.5% in the last 5 years of World Countries Developed, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.8%)
  • Compared with SPY (14.8%) in the period of the last 3 years, the downside deviation of 13.6% is smaller, thus better.

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:
  • The risk / return profile (Sharpe) over 5 years of World Countries Developed is 1.06, which is greater, thus better compared to the benchmark SPY (0.76) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.25, which is larger, thus better than the value of 1.03 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.69) in the period of the last 5 years, the downside risk / excess return profile of 0.9 of World Countries Developed is larger, thus better.
  • During the last 3 years, the excess return divided by the downside deviation is 1.04, which is greater, thus better than the value of 0.89 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:
  • Compared with the benchmark SPY (3.97 ) in the period of the last 5 years, the Ulcer Index of 3.55 of World Countries Developed is lower, thus better.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Index of 3.15 is lower, thus better.

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 -14.4 days in the last 5 years of World Countries Developed, we see it is relatively larger, thus better in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -10.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 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'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 176 days of World Countries Developed is smaller, thus better.
  • During the last 3 years, the maximum days below previous high is 176 days, which is higher, thus worse than the value of 139 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 35 days in the last 5 years of World Countries Developed, we see it is relatively lower, thus better in comparison to the benchmark SPY (42 days)
  • During the last 3 years, the average time in days below previous high water mark is 39 days, which is greater, thus worse than the value of 37 days from the benchmark.

Performance of World Countries Developed (YTD)

Historical returns have been extended using synthetic data.

Allocations of World Countries Developed
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Allocations

Returns of World Countries Developed (%)

  • 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.