'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 53.7% in the last 5 years of Global X Lithium & Battery Tech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (94.9%)
- During the last 3 years, the total return is -57.6%, which is smaller, thus worse than the value of 22.5% from the benchmark.

'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 (14.3%) in the period of the last 5 years, the annual performance (CAGR) of 9% of Global X Lithium & Battery Tech ETF is lower, thus worse.
- Compared with SPY (7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -24.9% is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 34.9% of Global X Lithium & Battery Tech ETF is higher, thus worse.
- Looking at 30 days standard deviation in of 30.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.5%).

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

Using this definition on our asset we see for example:- Looking at the downside volatility of 24.3% in the last 5 years of Global X Lithium & Battery Tech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
- During the last 3 years, the downside deviation is 22.1%, which is larger, thus worse than the value of 12.3% from the benchmark.

'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:- The ratio of return and volatility (Sharpe) over 5 years of Global X Lithium & Battery Tech ETF is 0.19, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is -0.9, which is lower, thus worse than the value of 0.26 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- The excess return divided by the downside deviation over 5 years of Global X Lithium & Battery Tech ETF is 0.27, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is -1.24, which is lower, thus worse than the value of 0.37 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 Downside risk index over 5 years of Global X Lithium & Battery Tech ETF is 29 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- Looking at Downside risk index in of 36 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of Global X Lithium & Battery Tech ETF is -61.9 days, which is smaller, 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 reduction from previous high of -61.9 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'

Applying this definition to our asset in some examples:- Looking at the maximum days under water of 689 days in the last 5 years of Global X Lithium & Battery Tech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum days under water is 689 days, which is larger, thus worse than the value of 488 days from the benchmark.

'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:- Looking at the average time in days below previous high water mark of 214 days in the last 5 years of Global X Lithium & Battery Tech ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
- Compared with SPY (179 days) in the period of the last 3 years, the average days below previous high of 321 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 Lithium & Battery Tech ETF are hypothetical and do not account for slippage, fees or taxes.