Global X MSCI Argentina ETF (ARGT)

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.'

• Looking at the total return, or performance of 224% in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (84.9%)
• Compared with SPY (80.2%) in the period of the last 3 years, the total return, or increase in value of 138.6% is larger, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (13.1%) in the period of the last 5 years, the annual return (CAGR) of 26.6% of Global X MSCI Argentina ETF is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 33.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (21.8%).

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.'

• The historical 30 days volatility over 5 years of Global X MSCI Argentina ETF is 31.7%, which is larger, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at 30 days standard deviation in of 32.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.2%).

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 risk over 5 years of Global X MSCI Argentina ETF is 20.9%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside deviation in of 20.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.1%).

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.'

• The risk / return profile (Sharpe) over 5 years of Global X MSCI Argentina ETF is 0.76, which is higher, thus better compared to the benchmark SPY (0.62) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.97, which is lower, thus worse than the value of 1.27 from the benchmark.

Sortino:

'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.'

• The downside risk / excess return profile over 5 years of Global X MSCI Argentina ETF is 1.15, which is larger, thus better compared to the benchmark SPY (0.9) in the same period.
• Compared with SPY (1.91) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.55 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.'

• Looking at the Ulcer Index of 11 in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.45 )
• Compared with SPY (3.5 ) in the period of the last 3 years, the Ulcer Ratio of 9.23 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -35.1 days of Global X MSCI Argentina ETF is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -28.5 days, which is smaller, thus worse than the value of -18.8 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'

• The maximum days below previous high over 5 years of Global X MSCI Argentina ETF is 336 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 115 days, which is larger, thus worse than the value of 87 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of Global X MSCI Argentina ETF is 69 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 30 days, which is greater, thus worse than the value of 20 days from the benchmark.