'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of Global X MSCI Colombia ETF is -20.4%, which is lower, thus worse compared to the benchmark SPY (88%) in the same period.
- Looking at total return, or increase in value in of -38.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (39.5%).

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the annual return (CAGR) of -4.5% of Global X MSCI Colombia ETF is lower, thus worse.
- Looking at compounded annual growth rate (CAGR) in of -15% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.7%).

'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:- Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the volatility of 28.5% of Global X MSCI Colombia ETF is higher, thus worse.
- Compared with SPY (22.3%) in the period of the last 3 years, the 30 days standard deviation of 30.9% is higher, thus worse.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside deviation of 21.6% of Global X MSCI Colombia ETF is higher, thus worse.
- Looking at downside volatility in of 24.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.5%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.24 of Global X MSCI Colombia ETF is lower, thus worse.
- Looking at Sharpe Ratio in of -0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.8) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.32 of Global X MSCI Colombia ETF is smaller, thus worse.
- During the last 3 years, the downside risk / excess return profile is -0.72, which is smaller, thus worse than the value of 0.56 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of Global X MSCI Colombia ETF is 20 , which is higher, thus worse compared to the benchmark SPY (5.79 ) in the same period.
- Looking at Downside risk index in of 24 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.08 ).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -62.7 days of Global X MSCI Colombia ETF is smaller, thus worse.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -62.7 days is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the maximum days below previous high of 615 days in the last 5 years of Global X MSCI Colombia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 615 days is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days under water of 182 days of Global X MSCI Colombia ETF is larger, thus worse.
- Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 261 days is larger, thus worse.

Historical returns have been extended using synthetic data.
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- 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.