Global X Guru Index ETF (GURU)

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.'

• The total return, or increase in value over 5 years of Global X Guru Index ETF is 60.4%, which is lower, thus worse compared to the benchmark SPY (107.6%) in the same period.
• During the last 3 years, the total return, or performance is 46.4%, which is smaller, thus worse than the value of 48.1% from the benchmark.

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 performance (CAGR) of 9.9% 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 (15.8%)
• Looking at compounded annual growth rate (CAGR) in of 13.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Global X Guru Index ETF is 21.2%, which is larger, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Compared with SPY (18.3%) in the period of the last 3 years, the 30 days standard deviation of 20.9% is higher, 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 volatility of 15% of Global X Guru Index ETF is greater, thus worse.
• Compared with SPY (12.4%) in the period of the last 3 years, the downside volatility of 14.5% is higher, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 0.35 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 (0.74)
• Compared with SPY (0.63) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.53 is smaller, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Global X Guru Index ETF is 0.5, which is lower, thus worse compared to the benchmark SPY (1.06) in the same period.
• Compared with SPY (0.93) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.77 is smaller, thus worse.

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.'

• Looking at the Downside risk index of 19 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 (8.48 )
• During the last 3 years, the Downside risk index is 7.15 , which is greater, thus worse than the value of 5.54 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.'

• The maximum DrawDown over 5 years of Global X Guru Index ETF is -38.5 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -20.7 days, which is lower, 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.'

• 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 (199 days) in the period of the last 3 years, the maximum days under water of 230 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 280 days 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 (119 days)
• Looking at average time in days below previous high water mark in of 54 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).