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.'

• The total return, or increase in value over 5 years of Global X MSCI Argentina ETF is 284.1%, which is larger, thus better compared to the benchmark SPY (106.2%) in the same period.
• During the last 3 years, the total return, or increase in value is 253%, which is higher, thus better than the value of 69.9% 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.'

• The annual performance (CAGR) over 5 years of Global X MSCI Argentina ETF is 31%, which is larger, thus better compared to the benchmark SPY (15.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 52.7%, which is greater, thus better than the value of 19.5% from the benchmark.

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 30 days standard deviation over 5 years of Global X MSCI Argentina ETF is 30%, which is higher, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Looking at 30 days standard deviation in of 30.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.7%).

DownVol:

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

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside volatility of 20.2% of Global X MSCI Argentina ETF is larger, thus worse.
• During the last 3 years, the downside deviation is 19.9%, which is larger, thus worse than the value of 11.6% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of Global X MSCI Argentina ETF is 0.95, which is larger, thus better compared to the benchmark SPY (0.74) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.64 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.96).

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.'

• Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of 1.41 of Global X MSCI Argentina ETF is higher, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.53, which is greater, thus better than the value of 1.46 from the benchmark.

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 Ratio of 11 in the last 5 years of Global X MSCI Argentina ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Index is 6.66 , which is larger, thus worse than the value of 5.32 from the benchmark.

MaxDD:

'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.'

• The maximum DrawDown over 5 years of Global X MSCI Argentina ETF is -35.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -21.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 336 days of Global X MSCI Argentina ETF is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 83 days, which is lower, thus better than the value of 199 days from the benchmark.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 67 days of Global X MSCI Argentina ETF is lower, thus better.
• Looking at average days below previous high in of 21 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (46 days).