'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or increase in value of % in the last 5 years of Global X Clean Water ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (99.9%)
- Looking at total return, or increase in value in of 16.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (35%).

'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.'

Applying this definition to our asset in some examples:- Looking at the annual return (CAGR) of % in the last 5 years of Global X Clean Water ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.9%)
- Compared with SPY (10.5%) in the period of the last 3 years, the annual performance (CAGR) of 5.1% is smaller, thus worse.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Global X Clean Water ETF is %, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
- Looking at 30 days standard deviation in of 17.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:- The downside volatility over 5 years of Global X Clean Water ETF is %, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
- Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 12% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Global X Clean Water ETF is , which is lower, thus worse compared to the benchmark SPY (0.59) in the same period.
- Compared with SPY (0.47) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.15 is smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the downside risk / excess return profile of of Global X Clean Water ETF is lower, thus worse.
- During the last 3 years, the downside risk / excess return profile is 0.22, which is lower, thus worse than the value of 0.67 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The Ulcer Index over 5 years of Global X Clean Water ETF is , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 14 is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum drop from peak to valley of days in the last 5 years of Global X Clean Water ETF, 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 -29.4 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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 days below previous high over 5 years of Global X Clean Water ETF is days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 543 days, which is larger, thus worse than the value of 488 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the average time in days below previous high water mark of days in the last 5 years of Global X Clean Water ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (124 days)
- Compared with SPY (181 days) in the period of the last 3 years, the average days under water of 209 days is higher, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Global X Clean Water ETF are hypothetical and do not account for slippage, fees or taxes.