Global X MSCI China Consumer Discretionary ETF (CHIQ)

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.'

• Looking at the total return, or increase in value of 30.9% in the last 5 years of Global X MSCI China Consumer Discretionary ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (109.3%)
• Compared with SPY (34.3%) in the period of the last 3 years, the total return, or performance of 22.5% is smaller, thus worse.

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 China Consumer Discretionary ETF is 5.5%, which is lower, thus worse compared to the benchmark SPY (16%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the annual return (CAGR) of 7% is lower, thus worse.

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.'

• Compared with the benchmark SPY (18%) in the period of the last 5 years, the historical 30 days volatility of 39.3% of Global X MSCI China Consumer Discretionary ETF is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 38.3%, which is greater, thus worse than the value of 18.8% from the benchmark.

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.'

• The downside volatility over 5 years of Global X MSCI China Consumer Discretionary ETF is 25.9%, which is greater, thus worse compared to the benchmark SPY (12.5%) in the same period.
• Compared with SPY (13%) in the period of the last 3 years, the downside risk of 26% is higher, thus worse.

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 China Consumer Discretionary ETF is 0.08, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
• Compared with SPY (0.42) in the period of the last 3 years, the Sharpe Ratio of 0.12 is smaller, thus worse.

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.'

• The ratio of annual return and downside deviation over 5 years of Global X MSCI China Consumer Discretionary ETF is 0.12, which is lower, thus worse compared to the benchmark SPY (1.07) in the same period.
• Looking at downside risk / excess return profile in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.6).

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Ulcer Index of 46 of Global X MSCI China Consumer Discretionary ETF is higher, thus worse.
• Compared with SPY (5.75 ) in the period of the last 3 years, the Ulcer Index of 22 is larger, thus worse.

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.'

• The maximum reduction from previous high over 5 years of Global X MSCI China Consumer Discretionary ETF is -67 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1052 days of Global X MSCI China Consumer Discretionary ETF is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 568 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

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.'

• The average days under water over 5 years of Global X MSCI China Consumer Discretionary ETF is 465 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• Looking at average time in days below previous high water mark in of 233 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).