Description

Global X MSCI China Consumer Discretionary ETF

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of 21.2% 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 (67.7%)
  • During the last 3 years, the total return, or performance is 16.4%, which is lower, thus worse than the value of 37% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of Global X MSCI China Consumer Discretionary ETF is 3.9%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • Compared with SPY (11.1%) in the period of the last 3 years, the annual return (CAGR) of 5.2% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 36.4% 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 (21.4%)
  • During the last 3 years, the volatility is 42.5%, which is higher, thus worse than the value of 24.8% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside risk of 24.5% of Global X MSCI China Consumer Discretionary ETF is greater, thus worse.
  • Looking at downside deviation in of 28.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.9%).

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.'

Which means for our asset as example:
  • Looking at the risk / return profile (Sharpe) of 0.04 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 (0.39)
  • During the last 3 years, the Sharpe Ratio is 0.06, which is lower, thus worse than the value of 0.34 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of Global X MSCI China Consumer Discretionary ETF is 0.06, which is lower, thus worse compared to the benchmark SPY (0.54) in the same period.
  • Compared with SPY (0.48) in the period of the last 3 years, the downside risk / excess return profile of 0.09 is smaller, 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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of Global X MSCI China Consumer Discretionary ETF is 28 , which is greater, thus worse compared to the benchmark SPY (8.47 ) in the same period.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 34 is higher, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -67 days of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -67 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Global X MSCI China Consumer Discretionary ETF is 459 days, which is greater, thus worse compared to the benchmark SPY (231 days) in the same period.
  • Compared with SPY (231 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 453 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (54 days) in the period of the last 5 years, the average time in days below previous high water mark of 182 days of Global X MSCI China Consumer Discretionary ETF is greater, thus worse.
  • Looking at average time in days below previous high water mark in of 158 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (58 days).

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 MSCI China Consumer Discretionary 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.