Description

Global X MSCI China Consumer Discretionary ETF

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (81.5%) in the period of the last 5 years, the total return, or increase in value of 36.9% of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
  • During the last 3 years, the total return is 38.3%, which is lower, thus worse than the value of 48.1% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6.5% of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
  • Compared with SPY (14%) in the period of the last 3 years, the annual return (CAGR) of 11.4% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 34.2% 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 (20.5%)
  • During the last 3 years, the volatility is 39.6%, which is greater, thus worse than the value of 23.8% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Global X MSCI China Consumer Discretionary ETF is 23%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
  • Looking at downside volatility in of 26.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.12 of Global X MSCI China Consumer Discretionary ETF is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.23, which is smaller, thus worse than the value of 0.48 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.17 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 (0.68)
  • During the last 3 years, the excess return divided by the downside deviation is 0.34, which is smaller, thus worse than the value of 0.66 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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Global X MSCI China Consumer Discretionary ETF is 24 , which is higher, thus worse compared to the benchmark SPY (7.13 ) in the same period.
  • Compared with SPY (8.25 ) in the period of the last 3 years, the Downside risk index of 28 is greater, 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.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -64.1 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 (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -64.1 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.'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of Global X MSCI China Consumer Discretionary ETF is 459 days, which is larger, thus worse compared to the benchmark SPY (150 days) in the same period.
  • Compared with SPY (150 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 372 days is greater, thus worse.

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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of Global X MSCI China Consumer Discretionary ETF is 156 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Looking at average days under water in of 113 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 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.