'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.'

Which means for our asset as example:- Looking at the total return of -5% 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 (58.9%)
- Looking at total return, or performance in of 15.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.9%).

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of Global X Robotics & Artificial Intelligence ETF is -1%, which is lower, thus worse compared to the benchmark SPY (9.7%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 4.9%, which is lower, thus worse than the value of 10.2% from the benchmark.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:- The volatility over 5 years of Global X Robotics & Artificial Intelligence ETF is 29.3%, which is larger, thus worse compared to the benchmark SPY (21.6%) in the same period.
- Compared with SPY (25%) in the period of the last 3 years, the volatility of 33% is greater, thus worse.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:- Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the downside risk of 21.1% of Global X Robotics & Artificial Intelligence ETF is larger, thus worse.
- During the last 3 years, the downside volatility is 23.4%, which is higher, thus worse than the value of 18.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of Global X Robotics & Artificial Intelligence ETF is -0.12, which is smaller, thus worse compared to the benchmark SPY (0.33) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.07, which is smaller, thus worse than the value of 0.31 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of -0.17 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 (0.46)
- Compared with SPY (0.43) in the period of the last 3 years, the excess return divided by the downside deviation of 0.1 is smaller, thus worse.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:- The Ulcer Index over 5 years of Global X Robotics & Artificial Intelligence ETF is 25 , which is larger, thus worse compared to the benchmark SPY (8.91 ) in the same period.
- Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Ratio of 26 is greater, 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:- The maximum drop from peak to valley over 5 years of Global X Robotics & Artificial Intelligence ETF is -55.5 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum DrawDown is -55.5 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'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.'

Which means for our asset as example:- Looking at the maximum days under water of 629 days in the last 5 years of Global X Robotics & Artificial Intelligence ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (271 days)
- During the last 3 years, the maximum time in days below previous high water mark is 309 days, which is larger, thus worse than the value of 271 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (60 days) in the period of the last 5 years, the average time in days below previous high water mark of 212 days of Global X Robotics & Artificial Intelligence ETF is greater, thus worse.
- During the last 3 years, the average days under water is 89 days, which is larger, thus worse than the value of 72 days from the benchmark.

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 Robotics & Artificial Intelligence ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.