'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (101.5%) in the period of the last 5 years, the total return of 170.8% of Global X Copper Miners ETF is larger, thus better.
- Compared with SPY (29.7%) in the period of the last 3 years, the total return, or performance of 26.5% is smaller, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (15.1%) in the period of the last 5 years, the annual performance (CAGR) of 22.1% of Global X Copper Miners ETF is greater, thus better.
- Compared with SPY (9.1%) in the period of the last 3 years, the annual return (CAGR) of 8.2% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The volatility over 5 years of Global X Copper Miners ETF is 38.6%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the 30 days standard deviation is 34.3%, which is greater, thus worse than the value of 17.6% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the downside volatility of 27% in the last 5 years of Global X Copper Miners ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
- Looking at downside volatility in of 23.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

'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.'

Using this definition on our asset we see for example:- The risk / return profile (Sharpe) over 5 years of Global X Copper Miners ETF is 0.51, which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.17, which is smaller, thus worse than the value of 0.37 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 0.73 in the last 5 years of Global X Copper Miners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.84)
- Looking at downside risk / excess return profile in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.53).

'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.'

Which means for our asset as example:- Looking at the Downside risk index of 19 in the last 5 years of Global X Copper Miners ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.32 )
- During the last 3 years, the Ulcer Ratio is 19 , which is greater, thus worse than the value of 10 from the benchmark.

'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:- The maximum reduction from previous high over 5 years of Global X Copper Miners ETF is -53.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -42.1 days is lower, thus worse.

'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'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 500 days in the last 5 years of Global X Copper Miners ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
- Looking at maximum time in days below previous high water mark in of 500 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 days).

'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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 140 days in the last 5 years of Global X Copper Miners ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (123 days)
- Looking at average days below previous high in of 184 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (177 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Global X Copper Miners ETF are hypothetical and do not account for slippage, fees or taxes.