No. of Recommendations: 1
DBE's with different indexes. Closely related? Maybe BETA would be an acceptable Measure.
BETA as a usable measure indicates "Developed Markets" and "Emerging markets" would probably be rejected.
R2000 Small/Micro US and Nasdaq N100 Global indices are in range.
All assuming the original(.SPX) long term(1925) test results are accepted as useful benchmark for timing.
Long Term Performance & Risk SPY EFA EEM QQQ IWM
Market Price $317.59 $62.33 $43.24 $263.97 $141.31
7/10/2020 20:00 7/10/2020 20:00 7/10/2020 20:00 7/10/2020 16:00 7/10/2020 20:00
Market Total Return (1 Yr) 8.49% -2.77% 2.91% 38.07% -7.90%
7/9/2020 7/9/2020 7/9/2020 7/9/2020 7/9/2020
Market Total Return (3 Yr) 11.56% 1.53% 3.58% 24.94% 1.64%
7/9/2020 7/9/2020 7/9/2020 7/9/2020 7/9/2020
Market Total Return (5 Yr) 11.08% 2.26% 4.53% 20.74% 4.04%
Market Total Return (10 Yr) 13.65% 5.29% 2.83% 20.67% 9.99%
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
Premium/Discount (1 Year Average) 0.06% 0.02% -0.13% 0.04% 0.03%
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
Beta (Month-End 3 Yr) 0.98 0.81 0.9 1.03 1.06
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
Standard Deviation (Month-End 3 Yr) 21.99 19.85 24.11 24.66 26.02
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
Sharpe Ratio (Month-End 3 Yr) 0.4 -0.05 -0.03 0.85 0.01
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
Alpha (Month-End 3 Yr) 0.05 -7.4 -6.37 10.89 -7.8
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
R2 (Month-End 3 Yr) 99.72 83.77 70.25 88.72 83.83
6/30/2020 6/30/2020 6/30/2020 6/30/2020 6/30/2020
GD_
