Global X MSCI China Consumer Discretionary ETF (CHIQ)

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.'

• The total return, or increase in value over 5 years of Global X MSCI China Consumer Discretionary ETF is 6.4%, which is lower, thus worse compared to the benchmark SPY (120.1%) in the same period.
• During the last 3 years, the total return is -7%, which is lower, thus worse than the value of 65.1% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the annual performance (CAGR) of 1.3% of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of -2.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.3%).

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.'

• Looking at the historical 30 days volatility of 39.1% in the last 5 years of Global X MSCI China Consumer Discretionary ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.6%)
• During the last 3 years, the volatility is 36.6%, which is larger, thus worse than the value of 17.5% 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 deviation over 5 years of Global X MSCI China Consumer Discretionary ETF is 25.9%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside deviation of 24.9% is greater, thus worse.

Sharpe:

'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.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.03 of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
• Looking at Sharpe Ratio in of -0.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

Sortino:

'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.'

• Compared with the benchmark SPY (1.21) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.05 of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.2, which is lower, thus worse than the value of 1.36 from the benchmark.

Ulcer:

'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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 47 of Global X MSCI China Consumer Discretionary ETF is larger, thus worse.
• Looking at Downside risk index in of 22 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.31 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum drop from peak to valley of -67 days in the last 5 years of Global X MSCI China Consumer Discretionary ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -40.8 days is lower, thus worse.

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 1095 days in the last 5 years of Global X MSCI China Consumer Discretionary ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• 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 larger, thus worse in comparison to SPY (199 days).

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 under water of 498 days in the last 5 years of Global X MSCI China Consumer Discretionary ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average time in days below previous high water mark is 237 days, which is higher, thus worse than the value of 47 days from the benchmark.