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.'

• The total return over 5 years of Global X FinTech ETF is 11.1%, which is lower, thus worse compared to the benchmark SPY (114.3%) in the same period.
• Looking at total return in of 45.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (62.3%).

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.'

• Compared with the benchmark SPY (16.5%) in the period of the last 5 years, the annual performance (CAGR) of 2.1% of Global X FinTech ETF is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 13.5%, which is lower, thus worse than the value of 17.6% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Global X FinTech ETF is 30.7%, which is higher, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Looking at 30 days standard deviation in of 29.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Global X FinTech ETF is 21.6%, which is larger, thus worse compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside deviation is 19.7%, which is higher, thus worse than the value of 11.6% from the benchmark.

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of -0.01 in the last 5 years of Global X FinTech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.8)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.38, which is smaller, thus worse than the value of 0.86 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Global X FinTech ETF is -0.02, which is lower, thus worse compared to the benchmark SPY (1.16) in the same period.
• Compared with SPY (1.3) in the period of the last 3 years, the downside risk / excess return profile of 0.56 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index 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 (8.48 )
• During the last 3 years, the Downside risk index is 16 , which is larger, thus worse than the value of 5.32 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -63.5 days of Global X FinTech ETF is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -32.4 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 918 days of Global X FinTech ETF is greater, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 393 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.'

• Looking at the average days below previous high of 363 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 (120 days)
• Looking at average days below previous high in of 131 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (47 days).