Global X CleanTech ETF (CTEC)

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 increase in value of % in the last 5 years of Global X CleanTech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.8%)
• Looking at total return, or performance in of % in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.5%).

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.'

• The annual return (CAGR) over 5 years of Global X CleanTech ETF is %, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual return (CAGR) in of % in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.1%).

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 30 days standard deviation of % in the last 5 years of Global X CleanTech ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.4%)
• Compared with SPY (18.8%) in the period of the last 3 years, the 30 days standard deviation of % is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of % in the last 5 years of Global X CleanTech ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.4%)
• Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of % is lower, thus better.

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.'

• Looking at the Sharpe Ratio of in the last 5 years of Global X CleanTech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
• Compared with SPY (0.56) in the period of the last 3 years, the risk / return profile (Sharpe) of is lower, thus worse.

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.'

• Looking at the downside risk / excess return profile of in the last 5 years of Global X CleanTech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.55)
• During the last 3 years, the ratio of annual return and downside deviation is , which is lower, thus worse than the value of 0.79 from the benchmark.

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.'

• The Ulcer Index over 5 years of Global X CleanTech ETF is , which is lower, thus better compared to the benchmark SPY (9.46 ) in the same period.
• Looking at Downside risk index in of in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of days of Global X CleanTech ETF is lower, thus worse.
• During the last 3 years, the maximum DrawDown is days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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.'

• Compared with the benchmark SPY (352 days) in the period of the last 5 years, the maximum time in days below previous high water mark of days of Global X CleanTech ETF is lower, thus better.
• During the last 3 years, the maximum days under water is days, which is smaller, thus better than the value of 352 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of Global X CleanTech ETF is days, which is lower, thus better compared to the benchmark SPY (78 days) in the same period.
• Looking at average time in days below previous high water mark in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (102 days).