'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of Global X E-commerce ETF is %, which is lower, thus worse compared to the benchmark SPY (57.1%) in the same period.
- Looking at total return, or increase in value in of -35.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual return (CAGR) of % of Global X E-commerce ETF is smaller, thus worse.
- Looking at annual return (CAGR) in of -13.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.7%).

'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 E-commerce ETF is %, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
- Looking at volatility in of 32.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.9%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside deviation of % of Global X E-commerce ETF is smaller, thus better.
- Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 23.3% is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of Global X E-commerce ETF is , which is lower, thus worse compared to the benchmark SPY (0.32) in the same period.
- Looking at risk / return profile (Sharpe) in of -0.49 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

'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:- The ratio of annual return and downside deviation over 5 years of Global X E-commerce ETF is , which is lower, thus worse compared to the benchmark SPY (0.45) in the same period.
- Compared with SPY (0.58) in the period of the last 3 years, the downside risk / excess return profile of -0.7 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Downside risk index of of Global X E-commerce ETF is smaller, thus better.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 39 is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- The maximum reduction from previous high over 5 years of Global X E-commerce ETF is days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -61.6 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of days in the last 5 years of Global X E-commerce ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (439 days)
- Compared with SPY (439 days) in the period of the last 3 years, the maximum days under water of 664 days is greater, thus worse.

'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:- Looking at the average days under water of days in the last 5 years of Global X E-commerce ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (106 days)
- Compared with SPY (149 days) in the period of the last 3 years, the average time in days below previous high water mark of 307 days is larger, thus worse.

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 E-commerce 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.