Global X Gold Explorers ETF (GOEX)

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.'

• The total return over 5 years of Global X Gold Explorers ETF is 73.4%, which is smaller, thus worse compared to the benchmark SPY (107.6%) in the same period.
• During the last 3 years, the total return, or increase in value is 66.1%, which is larger, thus better than the value of 48.1% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 11.7% in the last 5 years of Global X Gold Explorers ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
• During the last 3 years, the annual return (CAGR) is 18.5%, which is greater, thus better than the value of 14% 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 36.8% in the last 5 years of Global X Gold Explorers ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.9%)
• Compared with SPY (18.3%) in the period of the last 3 years, the volatility of 37% is greater, thus worse.

DownVol:

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

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the downside deviation of 24.9% of Global X Gold Explorers ETF is larger, thus worse.
• Compared with SPY (12.4%) in the period of the last 3 years, the downside risk of 24.8% is higher, 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.'

• The Sharpe Ratio over 5 years of Global X Gold Explorers ETF is 0.25, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.43 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

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 downside risk / excess return profile over 5 years of Global X Gold Explorers ETF is 0.37, which is smaller, thus worse compared to the benchmark SPY (1.06) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.65, which is lower, thus worse than the value of 0.93 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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 26 of Global X Gold Explorers ETF is larger, thus worse.
• During the last 3 years, the Downside risk index is 17 , which is greater, thus worse than the value of 5.54 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -50.5 days of Global X Gold Explorers ETF is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -36.3 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) in days.'

• Looking at the maximum days below previous high of 1157 days in the last 5 years of Global X Gold Explorers ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 275 days, which is larger, thus worse than the value of 199 days from the benchmark.

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 under water of 545 days in the last 5 years of Global X Gold Explorers ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 93 days is higher, thus worse.