Description

The World Country Top 4 Strategy is a momentum driven strategy that invests in the top four single country ETFs. It will add geographic diversity to your portfolio with significant non-U.S. equity exposure.

The strategy consists of four sub-strategies. Each sub-strategy invests in the best country ETF in a specific geographic area (i.e., Africa, Asia, Latin America, etc). These strategies are then combined to yield four country ETFs that come from different geographic segments, thus avoiding overconcentration. So even if one region is outperforming all the other areas, this strategy will still diversify among three additional top performing regions.

Like our other equity-based strategies, this strategy is hedged with a sub-strategy (HEDGE) that includes, amongst others, safe heaven assets like treasuries and gold.

Methodology & Assets

Country ETFs:

  • AFK Market Vectors Africa Index
  • ASHR Deutsche X-Trackers CSI 300 China A Shares
  • ECH iShares MSCI Chile Fund
  • EGPT Market Vectors Egypt Index
  • EIDO iShares MSCI Indonesia Index
  • EIRL iShares MSCI Ireland Capped
  • EIS iShares MSCI Israel
  • ENZL iShares MSCI New Zealand Investable Market
  • EPHE iShares MSCI Philippines
  • EPI WisdomTree India Earnings Index
  • EPOL iShares MSCI Poland Index
  • EPU iShares MSCI Peru 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
  • EWS iShares MSCI Singapore Index
  • EWT iShares MSCI Taiwan Index Fund
  • EWU iShares MSCI United Kingdom Index
  • EWW iShares MSCI Mexico Index Fund
  • EWY iShares MSCI South Korea Index Fund
  • EWZ iShares MSCI Brazil Index Fund
  • EZA iShares MSCI South Africa Index
  • FM iShares MSCI Frontier Markets ETF
  • FRN Guggenheim BNY Mellon Frontier Mkts
  • FXI iShares FTSE China 25 Index Fund
  • GAF SPDR S&P E.M. Middle East & Africa
  • GULF WisdomTree Middle East Dividend Index
  • GREK Global X FTSE Greece 20
  • GXG Global X Interbolsa FTSE Colombia 20
  • IDX Market Vectors Indonesia
  • MCHI iShares MSCI China Index
  • MES Market Vectors DJ Gulf States (GCC) Titans
  • NORW Global X FTSE Norway 30 ETF
  • QQQ PowerShares Nasdaq-100 Index
  • RSX Market Vectors DAXglobal Russia
  • THD iShares MSCI Thailand Index
  • TUR iShares MSCI Turkey
  • VNM Market Vectors Vietnam

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of World Top 4 Strategy is 46.2%, which is lower, thus worse compared to the benchmark ACWI (76.8%) in the same period.
  • During the last 3 years, the total return, or increase in value is 24.8%, which is lower, thus worse than the value of 52.5% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The annual performance (CAGR) over 5 years of World Top 4 Strategy is 7.9%, which is lower, thus worse compared to the benchmark ACWI (12.1%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 7.7%, which is lower, thus worse than the value of 15.1% 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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 8.2% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (18%)
  • During the last 3 years, the historical 30 days volatility is 9.9%, which is lower, thus better than the value of 21% 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.'

Which means for our asset as example:
  • The downside volatility over 5 years of World Top 4 Strategy is 6%, which is smaller, thus better compared to the benchmark ACWI (13.3%) in the same period.
  • Compared with ACWI (15.6%) in the period of the last 3 years, the downside risk of 7.3% is smaller, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Which means for our asset as example:
  • Looking at the risk / return profile (Sharpe) of 0.66 in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.53)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.52, which is lower, thus worse than the value of 0.6 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.72) in the period of the last 5 years, the downside risk / excess return profile of 0.9 of World Top 4 Strategy is greater, thus better.
  • Compared with ACWI (0.81) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.71 is lower, thus worse.

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.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of World Top 4 Strategy is 2.37 , which is lower, thus better compared to the benchmark ACWI (6.29 ) in the same period.
  • Compared with ACWI (6.4 ) in the period of the last 3 years, the Downside risk index of 2.85 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum DrawDown of -17.1 days in the last 5 years of World Top 4 Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (-33.5 days)
  • Looking at maximum reduction from previous high in of -17.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-33.5 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 148 days in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (373 days)
  • Looking at maximum days under water in of 100 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (133 days).

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:
  • The average days below previous high over 5 years of World Top 4 Strategy is 32 days, which is lower, thus better compared to the benchmark ACWI (80 days) in the same period.
  • Compared with ACWI (25 days) in the period of the last 3 years, the average days under water of 26 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of World Top 4 Strategy 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.