Description

Global X Robotics & Artificial Intelligence ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (60.7%) in the period of the last 5 years, the total return of -12% of Global X Robotics & Artificial Intelligence ETF is lower, thus worse.
  • During the last 3 years, the total return is -7.5%, which is lower, thus worse than the value of 29.5% 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.'

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 -2.5%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is -2.6%, which is lower, thus worse than the value of 9% 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.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 28.2% 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 (20.8%)
  • Looking at historical 30 days volatility in of 31.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24%).

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Global X Robotics & Artificial Intelligence ETF is 20.7%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
  • Looking at downside deviation in of 22.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.36) in the period of the last 5 years, the Sharpe Ratio of -0.18 of Global X Robotics & Artificial Intelligence ETF is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of -0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.27).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.24 of Global X Robotics & Artificial Intelligence ETF is lower, thus worse.
  • Looking at downside risk / excess return profile in of -0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.37).

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of Global X Robotics & Artificial Intelligence ETF is 22 , which is higher, thus worse compared to the benchmark SPY (7.52 ) in the same period.
  • Looking at Ulcer Ratio in of 20 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.81 ).

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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of Global X Robotics & Artificial Intelligence ETF is -53.9 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -53.9 days is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Global X Robotics & Artificial Intelligence ETF is 642 days, which is larger, thus worse compared to the benchmark SPY (182 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 220 days, which is greater, thus worse than the value of 182 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (45 days) in the period of the last 5 years, the average days below previous high of 204 days of Global X Robotics & Artificial Intelligence ETF is larger, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 56 days, which is larger, thus worse than the value of 43 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.