Description of Global X MSCI Colombia ETF

Global X MSCI Colombia ETF

Statistics of Global X MSCI Colombia ETF (YTD)

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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.'

Which means for our asset as example:
  • Looking at the total return, or performance of -34.8% in the last 5 years of Global X MSCI Colombia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.6%)
  • During the last 3 years, the total return, or performance is 19.1%, which is smaller, thus worse than the value of 51% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of -8.2% of Global X MSCI Colombia ETF is smaller, thus worse.
  • Compared with SPY (14.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6% is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 23.3% in the last 5 years of Global X MSCI Colombia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.5%)
  • During the last 3 years, the historical 30 days volatility is 17.7%, which is higher, thus worse than the value of 12.8% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside risk of 23.8% of Global X MSCI Colombia ETF is greater, thus worse.
  • During the last 3 years, the downside risk is 18.4%, which is larger, thus worse than the value of 14.7% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of Global X MSCI Colombia ETF is -0.46, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at Sharpe Ratio in of 0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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.'

Which means for our asset as example:
  • The downside risk / excess return profile over 5 years of Global X MSCI Colombia ETF is -0.45, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Compared with SPY (0.83) in the period of the last 3 years, the downside risk / excess return profile of 0.19 is lower, 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Global X MSCI Colombia ETF is 38 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Global X MSCI Colombia ETF is -58.1 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -32.4 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) in days.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of Global X MSCI Colombia ETF is 1254 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 400 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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of Global X MSCI Colombia ETF is 627 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 126 days is greater, thus worse.

Performance of Global X MSCI Colombia ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Global X MSCI Colombia ETF
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Allocations

Returns of Global X MSCI Colombia ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Global X MSCI Colombia ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.