'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (93.6%) in the period of the last 5 years, the total return, or performance of -21.4% of Global X MSCI Colombia ETF is lower, thus worse.
- Looking at total return, or increase in value in of -7.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.2%).

'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.'

Using this definition on our asset we see for example:- The compounded annual growth rate (CAGR) over 5 years of Global X MSCI Colombia ETF is -4.7%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of -2.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

'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 historical 30 days volatility of 29.7% 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 (20.9%)
- Looking at 30 days standard deviation in of 24.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

'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.'

Applying this definition to our asset in some examples:- The downside deviation over 5 years of Global X MSCI Colombia ETF is 22.3%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
- Compared with SPY (12.2%) in the period of the last 3 years, the downside deviation of 17.1% is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of -0.24 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 (0.56)
- Compared with SPY (0.43) in the period of the last 3 years, the Sharpe Ratio of -0.21 is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- The downside risk / excess return profile over 5 years of Global X MSCI Colombia ETF is -0.32, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
- Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of -0.3 is smaller, thus worse.

'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.'

Which means for our asset as example:- Looking at the Downside risk index of 30 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 (9.33 )
- During the last 3 years, the Ulcer Index is 25 , which is greater, thus worse than the value of 10 from the benchmark.

'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:- The maximum DrawDown over 5 years of Global X MSCI Colombia ETF is -59.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -43.9 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). 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'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 1037 days 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 (488 days)
- During the last 3 years, the maximum days under water is 471 days, which is lower, thus better than the value of 488 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 448 days 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 (123 days)
- Compared with SPY (180 days) in the period of the last 3 years, the average time in days below previous high water mark of 169 days is lower, thus better.

Historical returns have been extended using synthetic data.
[Show Details]

- 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.