World Countries South America

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 increase in value of 82.2% in the last 5 years of World Countries South America, we see it is relatively greater, thus better in comparison to the benchmark SPY (61.9%)
• During the last 3 years, the total return is 179.1%, which is higher, thus better than the value of 79.4% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of World Countries South America is 12.8%, which is higher, thus better compared to the benchmark SPY (10.1%) in the same period.
• During the last 3 years, the annual return (CAGR) is 40.8%, which is higher, thus better than the value of 21.5% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 26.9% in the last 5 years of World Countries South America, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the volatility is 27.8%, which is higher, thus worse than the value of 21.2% from the benchmark.

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.'

• The downside deviation over 5 years of World Countries South America is 19.1%, which is greater, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (14.1%) in the period of the last 3 years, the downside risk of 18.1% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.38 of World Countries South America is larger, thus better.
• Compared with SPY (0.9) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.38 is larger, thus better.

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 0.54 in the last 5 years of World Countries South America, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.49)
• During the last 3 years, the downside risk / excess return profile is 2.12, which is greater, thus better than the value of 1.35 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.'

• Looking at the Downside risk index of 12 in the last 5 years of World Countries South America, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.15 )
• During the last 3 years, the Downside risk index is 9.77 , which is smaller, thus better than the value of 9.78 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -45 days in the last 5 years of World Countries South America, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -28.8 days, which is smaller, thus worse than the value of -24.5 days from the benchmark.

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 time in days below previous high water mark of 304 days in the last 5 years of World Countries South America, we see it is relatively lower, thus better in comparison to the benchmark SPY (305 days)
• Looking at maximum time in days below previous high water mark in of 201 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (305 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.'

• Compared with the benchmark SPY (65 days) in the period of the last 5 years, the average days under water of 87 days of World Countries South America is higher, thus worse.
• Compared with SPY (80 days) in the period of the last 3 years, the average days below previous high of 42 days is lower, thus better.