World Countries Developed

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.'

• Looking at the total return, or performance of 182.1% in the last 5 years of World Countries Developed, we see it is relatively greater, thus better in comparison to the benchmark SPY (109.7%)
• During the last 3 years, the total return, or increase in value is 87.6%, which is greater, thus better than the value of 70.1% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of World Countries Developed is 23.2%, which is greater, thus better compared to the benchmark SPY (16%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 23.4%, which is larger, thus better than the value of 19.5% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of World Countries Developed is 19.3%, which is higher, thus worse compared to the benchmark SPY (17.5%) in the same period.
• Looking at volatility in of 18.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.4%).

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.'

• The downside volatility over 5 years of World Countries Developed is 13.1%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Looking at downside volatility in of 12.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11.5%).

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.'

• Compared with the benchmark SPY (0.77) in the period of the last 5 years, the Sharpe Ratio of 1.07 of World Countries Developed is higher, thus better.
• Compared with SPY (0.97) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.11 is greater, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of World Countries Developed is 1.58, which is higher, thus better compared to the benchmark SPY (1.12) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.67 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.47).

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 Ulcer Ratio over 5 years of World Countries Developed is 6 , which is lower, thus better compared to the benchmark SPY (8.48 ) in the same period.
• Looking at Ulcer Ratio in of 5.27 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (5.3 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• 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 higher, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -17.3 days is higher, thus better.

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'

• Looking at the maximum days below previous high of 263 days in the last 5 years of World Countries Developed, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 198 days is smaller, thus better.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 61 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 46 days, which is lower, thus better than the value of 47 days from the benchmark.