Global X Robotics & Artificial Intelligence ETF (BOTZ)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or performance over 5 years of Global X Robotics & Artificial Intelligence ETF is 3.5%, which is lower, thus worse compared to the benchmark SPY (87.2%) in the same period.
• Compared with SPY (71%) in the period of the last 3 years, the total return, or increase in value of 47.2% is lower, thus worse.

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.'

• The annual return (CAGR) over 5 years of Global X Robotics & Artificial Intelligence ETF is 0.7%, which is lower, thus worse compared to the benchmark SPY (13.4%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 13.8%, which is lower, thus worse than the value of 19.7% from the benchmark.

Volatility:

'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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the 30 days standard deviation of 26.4% of Global X Robotics & Artificial Intelligence ETF is higher, thus worse.
• Looking at volatility in of 23.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.2%).

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 (11.7%) in the period of the last 5 years, the downside risk of 18.5% of Global X Robotics & Artificial Intelligence ETF is greater, thus worse.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 16.1% is larger, thus worse.

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.'

• The Sharpe Ratio over 5 years of Global X Robotics & Artificial Intelligence ETF is -0.07, which is smaller, thus worse compared to the benchmark SPY (0.64) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.48, which is smaller, thus worse than the value of 1.13 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.93) in the period of the last 5 years, the excess return divided by the downside deviation of -0.1 of Global X Robotics & Artificial Intelligence ETF is lower, thus worse.
• Compared with SPY (1.68) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.7 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 28 of Global X Robotics & Artificial Intelligence ETF is larger, thus worse.
• Compared with SPY (3.49 ) in the period of the last 3 years, the Downside risk index of 8.62 is greater, thus worse.

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 reduction from previous high of -55.5 days of Global X Robotics & Artificial Intelligence ETF is smaller, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -29 days is smaller, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1064 days of Global X Robotics & Artificial Intelligence ETF is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 168 days is larger, thus worse.

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.'

• The average days under water over 5 years of Global X Robotics & Artificial Intelligence ETF is 464 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 52 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).