Description

Global X FinTech ETF

Statistics (YTD)

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

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 1.8% in the last 5 years of Global X FinTech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (108.5%)
  • Compared with SPY (48.5%) in the period of the last 3 years, the total return, or performance of 20.7% is lower, thus worse.

CAGR:

'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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 0.4% in the last 5 years of Global X FinTech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.9%)
  • Looking at annual return (CAGR) in of 6.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.2%).

Volatility:

'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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Global X FinTech ETF is 30.8%, which is higher, thus worse compared to the benchmark SPY (17.9%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the volatility of 29.9% is greater, thus worse.

DownVol:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 21.8% in the last 5 years of Global X FinTech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.5%)
  • Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 20.5% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Global X FinTech ETF is -0.07, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
  • Looking at Sharpe Ratio in of 0.13 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.64).

Sortino:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of -0.1 in the last 5 years of Global X FinTech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.08)
  • During the last 3 years, the excess return divided by the downside deviation is 0.2, which is smaller, thus worse than the value of 0.95 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:
  • Looking at the Ulcer Ratio of 42 in the last 5 years of Global X FinTech ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.49 )
  • Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (5.55 ).

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Global X FinTech ETF is -63.5 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum reduction from previous high in of -32.4 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 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.'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 901 days in the last 5 years of Global X FinTech ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
  • Looking at maximum days under water in of 393 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of Global X FinTech ETF is 350 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
  • Looking at average time in days below previous high water mark in of 128 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (46 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 FinTech ETF are hypothetical and do not account for slippage, fees or taxes.