Global X Guru Index ETF (GURU)

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.'

• Looking at the total return, or increase in value of 43.1% in the last 5 years of Global X Guru Index ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (91.2%)
• Compared with SPY (30.8%) in the period of the last 3 years, the total return, or increase in value of 12.4% is smaller, 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 annual return (CAGR) of 7.4% in the last 5 years of Global X Guru Index ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 4%, which is lower, thus worse than the value of 9.4% 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.'

• Looking at the 30 days standard deviation of 23.9% in the last 5 years of Global X Guru Index ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the 30 days standard deviation is 21.4%, which is greater, thus worse than the value of 17.5% 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.'

• Looking at the downside deviation of 17.3% in the last 5 years of Global X Guru Index ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
• Looking at downside volatility in of 15.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

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.'

• Looking at the Sharpe Ratio of 0.21 in the last 5 years of Global X Guru Index ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.54)
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.07 is lower, thus worse.

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.'

• Looking at the ratio of annual return and downside deviation of 0.29 in the last 5 years of Global X Guru Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.76)
• During the last 3 years, the downside risk / excess return profile is 0.1, which is smaller, thus worse than the value of 0.56 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.'

• The Downside risk index over 5 years of Global X Guru Index ETF is 20 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.89 ) in the period of the last 3 years, the Downside risk index of 16 is larger, thus worse.

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -38.5 days of Global X Guru Index ETF is smaller, thus worse.
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -29.8 days is lower, thus worse.

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'

• The maximum time in days below previous high water mark over 5 years of Global X Guru Index ETF is 798 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 622 days is greater, thus worse.

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.'

• Looking at the average days below previous high of 281 days in the last 5 years of Global X Guru Index ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (122 days)
• Compared with SPY (114 days) in the period of the last 3 years, the average time in days below previous high water mark of 271 days is larger, thus worse.