Global X MSCI China Consumer Discretionary ETF (CHIQ)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of -47.9% 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 (86%)
• Compared with SPY (71.8%) in the period of the last 3 years, the total return, or increase in value of 2.1% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of -12.3% 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 (13.3%)
• During the last 3 years, the annual performance (CAGR) is 0.7%, which is smaller, thus worse than the value of 19.9% 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.'

• The volatility over 5 years of Global X MSCI China Consumer Discretionary ETF is 38.4%, which is higher, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at historical 30 days volatility in of 32.1% 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.'

• Looking at the downside deviation of 25.9% 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 (11.8%)
• During the last 3 years, the downside deviation is 21.8%, which is larger, thus worse than the value of 10.2% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of Global X MSCI China Consumer Discretionary ETF is -0.38, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.14).

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 -0.57, which is lower, thus worse compared to the benchmark SPY (0.92) in the same period.
• Compared with SPY (1.7) in the period of the last 3 years, the downside risk / excess return profile of -0.08 is smaller, thus worse.

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 (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 50 of Global X MSCI China Consumer Discretionary ETF is higher, thus worse.
• Looking at Ulcer Ratio in of 16 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.48 ).

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 reduction from previous high of -67 days 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 (-24.5 days)
• Looking at maximum reduction from previous high in of -30.4 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1254 days of Global X MSCI China Consumer Discretionary ETF is larger, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 407 days is higher, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 628 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 higher, thus worse in comparison to SPY (19 days).