Global X MSCI Argentina ETF (ARGT)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or performance over 5 years of Global X MSCI Argentina ETF is 212.5%, which is greater, thus better compared to the benchmark SPY (111.4%) in the same period.
• During the last 3 years, the total return, or increase in value is 125.4%, which is larger, thus better than the value of 66.9% 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.'

• Compared with the benchmark SPY (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 25.7% of Global X MSCI Argentina ETF is higher, thus better.
• During the last 3 years, the annual return (CAGR) is 31.2%, which is larger, thus better than the value of 18.7% 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.'

• The 30 days standard deviation over 5 years of Global X MSCI Argentina ETF is 30.2%, which is higher, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Compared with SPY (16.9%) in the period of the last 3 years, the historical 30 days volatility of 30.8% is higher, thus worse.

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 20.8%, which is larger, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Looking at downside deviation in of 20.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.2%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.77 in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.79)
• Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.93 is lower, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of Global X MSCI Argentina ETF is 1.12, which is smaller, thus worse compared to the benchmark SPY (1.15) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.38, which is lower, thus worse than the value of 1.44 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.'

• The Downside risk index over 5 years of Global X MSCI Argentina ETF is 11 , which is larger, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 7.65 , which is greater, thus worse than the value of 4.21 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -35.1 days in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -24.4 days, which is lower, 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) in days.'

• Looking at the maximum days under water of 336 days in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 83 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (97 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.'

• Looking at the average days under water of 68 days in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (120 days)
• Looking at average days under water in of 25 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (27 days).