Global X MSCI Greece ETF (GREK)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or performance of -23.9% in the last 5 years of Global X MSCI Greece ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (88%)
• During the last 3 years, the total return is -27%, which is smaller, thus worse than the value of 39.5% from the benchmark.

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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the annual performance (CAGR) of -5.3% of Global X MSCI Greece ETF is lower, thus worse.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of -10% is lower, thus worse.

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 MSCI Greece ETF is 35.6%, which is greater, thus worse compared to the benchmark SPY (18.8%) in the same period.
• During the last 3 years, the volatility is 36.7%, which is higher, thus worse than the value of 22.3% 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 MSCI Greece ETF is 26.5%, which is larger, thus worse compared to the benchmark SPY (13.7%) in the same period.
• Compared with SPY (16.5%) in the period of the last 3 years, the downside volatility of 27.4% is larger, 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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.22 of Global X MSCI Greece ETF is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of -0.34 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the excess return divided by the downside deviation of -0.3 of Global X MSCI Greece ETF is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.46, which is smaller, thus worse than the value of 0.56 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (5.79 ) in the period of the last 5 years, the Ulcer Index of 26 of Global X MSCI Greece ETF is higher, thus worse.
• Looking at Downside risk index in of 26 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (7.08 ).

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.'

• Looking at the maximum DrawDown of -57 days in the last 5 years of Global X MSCI Greece ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -57 days, which is smaller, thus worse than the value of -33.7 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.'

• The maximum days under water over 5 years of Global X MSCI Greece ETF is 673 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 673 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

• Looking at the average days below previous high of 261 days in the last 5 years of Global X MSCI Greece ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (37 days)
• During the last 3 years, the average days under water is 310 days, which is larger, thus worse than the value of 45 days from the benchmark.