Description of Global X Lithium & Battery Tech ETF

Global X Lithium & Battery Tech ETF

Statistics of Global X Lithium & Battery Tech ETF (YTD)

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TotalReturn:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return, or increase in value of 12.7% of Global X Lithium & Battery Tech ETF is smaller, thus worse.
  • During the last 3 years, the total return, or performance is 42.6%, which is lower, thus worse than the value of 45.7% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 2.4% 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 (10.7%)
  • Looking at annual return (CAGR) in of 12.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.4%).

Volatility:

'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:
  • Looking at the historical 30 days volatility of 19.9% 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 (13.3%)
  • Looking at historical 30 days volatility in of 20% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.5%).

DownVol:

'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.'

Which means for our asset as example:
  • Looking at the downside volatility of 21.1% in the last 5 years of Global X Lithium & Battery Tech ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
  • Compared with SPY (14.1%) in the period of the last 3 years, the downside deviation of 22% is larger, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of 0 of Global X Lithium & Battery Tech ETF is lower, thus worse.
  • Compared with SPY (0.87) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.51 is lower, 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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of Global X Lithium & Battery Tech ETF is 0, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.46 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.77).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of Global X Lithium & Battery Tech ETF is 18 , which is higher, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • During the last 3 years, the Downside risk index is 14 , which is larger, thus better than the value of 4.01 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -37.9 days in the last 5 years of Global X Lithium & Battery Tech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum reduction from previous high is -35.5 days, which is smaller, thus worse than the value of -19.3 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). 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:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 636 days of Global X Lithium & Battery Tech ETF is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 303 days, which is larger, thus worse than the value of 131 days from the benchmark.

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 Lithium & Battery Tech ETF is 211 days, which is greater, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Looking at average days under water in of 84 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (34 days).

Performance of Global X Lithium & Battery Tech ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Global X Lithium & Battery Tech ETF
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Allocations

Returns of Global X Lithium & Battery Tech ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Global X Lithium & Battery Tech 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.