Global X FinTech ETF (FINX)

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.'

• Compared with the benchmark SPY (97.3%) in the period of the last 5 years, the total return, or performance of 5.2% of Global X FinTech ETF is smaller, thus worse.
• Compared with SPY (40.1%) in the period of the last 3 years, the total return of 0.3% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 1% in the last 5 years of Global X FinTech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (14.6%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 0.1%, which is lower, thus worse than the value of 12% from the benchmark.

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 volatility of 33.2% in the last 5 years of Global X FinTech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the volatility is 31.7%, which is greater, thus worse than the value of 17.3% from the benchmark.

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.'

• The downside deviation over 5 years of Global X FinTech ETF is 23.8%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 22.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

Sharpe:

'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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the Sharpe Ratio of -0.04 of Global X FinTech ETF is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.08 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.55).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of -0.06 in the last 5 years of Global X FinTech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.8)
• Compared with SPY (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of -0.11 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of Global X FinTech ETF is 41 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Downside risk index in of 31 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.64 ).

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.'

• The maximum DrawDown over 5 years of Global X FinTech ETF is -63.5 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 drop from peak to valley is -47.2 days, which is lower, thus worse than the value of -22.1 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.'

• Looking at the maximum time in days below previous high water mark of 822 days in the last 5 years of Global X FinTech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 748 days is greater, thus worse.

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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days under water of 297 days of Global X FinTech ETF is larger, thus worse.
• During the last 3 years, the average days below previous high is 375 days, which is larger, thus worse than the value of 89 days from the benchmark.