Description of World Countries South America

The World Country South America 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

ARGT Global X MSCI Argentina ETF
ECH iShares MSCI Chile Fund
EPU iShares MSCI Peru Index
EWW iShares MSCI Mexico Index Fund
EWZ iShares MSCI Brazil Index Fund
GXG 
Global X MSCI Colombia ETF

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 South America (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (68.7%) in the period of the last 5 years, the total return, or performance of 98.7% of World Countries South America is higher, thus better.
  • Compared with SPY (47.9%) in the period of the last 3 years, the total return, or performance of 81.3% is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of World Countries South America is 14.7%, which is larger, thus better compared to the benchmark SPY (11%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 22%, which is larger, thus better than the value of 14% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of World Countries South America is 18.5%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 17.1%, which is larger, thus worse than the value of 12.5% 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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of World Countries South America is 18.8%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Looking at downside deviation in of 18.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.2%).

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:
  • Looking at the ratio of return and volatility (Sharpe) of 0.66 in the last 5 years of World Countries South America, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.64)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.14, which is greater, thus better than the value of 0.91 from the benchmark.

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of World Countries South America is 0.65, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 1.07, which is greater, thus better than the value of 0.81 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Downside risk index of 12 of World Countries South America is greater, thus better.
  • During the last 3 years, the Ulcer Index is 8.17 , which is greater, thus better than the value of 4.01 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The maximum drop from peak to valley over 5 years of World Countries South America is -32.9 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -19.3 days, which is greater, thus better than the value of -19.3 days from the benchmark.

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.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of World Countries South America is 430 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high in of 273 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of World Countries South America is 121 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 66 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of World Countries South America (YTD)

Historical returns have been extended using synthetic data.

Allocations of World Countries South America
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Allocations

Returns of World Countries South America (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of World Countries South America 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.