Global X Robotics & Artificial Intelligence ETF (BOTZ)

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 increase in value of 34.6% in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (108.3%)
• Looking at total return, or increase in value in of 30.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (49.1%).

CAGR:

'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.'

• Looking at the annual return (CAGR) of 6.1% in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.8%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.3%, which is lower, thus worse than the value of 14.3% 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 Robotics & Artificial Intelligence ETF is 26.4%, which is greater, thus worse compared to the benchmark SPY (17.9%) in the same period.
• During the last 3 years, the volatility is 26.6%, which is higher, thus worse than the value of 18.1% from the benchmark.

DownVol:

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

• The downside risk over 5 years of Global X Robotics & Artificial Intelligence ETF is 18.5%, which is higher, thus worse compared to the benchmark SPY (12.4%) in the same period.
• During the last 3 years, the downside volatility is 18.1%, which is greater, thus worse than the value of 12.2% from the benchmark.

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of 0.14 in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
• During the last 3 years, the Sharpe Ratio is 0.25, which is lower, thus worse than the value of 0.65 from the benchmark.

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 (1.07) in the period of the last 5 years, the downside risk / excess return profile of 0.2 of Global X Robotics & Artificial Intelligence ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.37, which is lower, thus worse than the value of 0.97 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.'

• Looking at the Ulcer Index of 27 in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.49 )
• Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (5.55 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -55.5 days of Global X Robotics & Artificial Intelligence ETF is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -29 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark of 892 days in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 168 days is smaller, thus better.

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 below previous high of 343 days in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (46 days) in the period of the last 3 years, the average days under water of 63 days is larger, thus worse.