Global X MSCI Greece ETF (GREK)

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, or increase in value over 5 years of Global X MSCI Greece ETF is 251.1%, which is higher, thus better compared to the benchmark SPY (143%) in the same period.
• Looking at total return in of 112.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (39%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual performance (CAGR) over 5 years of Global X MSCI Greece ETF is 28.7%, which is higher, thus better compared to the benchmark SPY (19.5%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 28.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (11.7%).

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.'

• Looking at the historical 30 days volatility of 29.5% in the last 5 years of Global X MSCI Greece ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.6%)
• Compared with SPY (17.1%) in the period of the last 3 years, the historical 30 days volatility of 23.6% is larger, 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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the downside volatility of 20% of Global X MSCI Greece ETF is greater, thus worse.
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 16% is higher, thus worse.

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.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the Sharpe Ratio of 0.89 of Global X MSCI Greece ETF is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 1.11, which is higher, thus better than the value of 0.54 from the benchmark.

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 ratio of annual return and downside deviation of 1.31 in the last 5 years of Global X MSCI Greece ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.26)
• During the last 3 years, the ratio of annual return and downside deviation is 1.63, which is higher, thus better than the value of 0.77 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 (8.32 ) in the period of the last 5 years, the Downside risk index of 9.58 of Global X MSCI Greece ETF is larger, thus worse.
• Looking at Ulcer Ratio in of 9.06 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.6 ).

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 -30.5 days of Global X MSCI Greece ETF is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -26.4 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 232 days of Global X MSCI Greece ETF is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 179 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (325 days).

AveDuration:

'The Average 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. 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.'

• The average time in days below previous high water mark over 5 years of Global X MSCI Greece ETF is 55 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• Compared with SPY (90 days) in the period of the last 3 years, the average days under water of 50 days is lower, thus better.