Global X Lithium & Battery Tech ETF (LIT)

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.'

• Looking at the total return, or performance of 7.6% 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 (89.7%)
• Looking at total return, or performance in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (76.4%).

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.'

• Looking at the annual performance (CAGR) of 1.5% 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 (13.7%)
• During the last 3 years, the annual performance (CAGR) is 3.6%, which is smaller, thus worse than the value of 21% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 32.3% 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 (17%)
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 30.5% is greater, thus worse.

DownVol:

'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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside volatility of 22.2% of Global X Lithium & Battery Tech ETF is larger, thus worse.
• During the last 3 years, the downside volatility is 20.5%, which is higher, thus worse than the value of 10.2% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of Global X Lithium & Battery Tech ETF is -0.03, which is smaller, thus worse compared to the benchmark SPY (0.66) in the same period.
• Compared with SPY (1.22) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.04 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.'

• Looking at the excess return divided by the downside deviation of -0.05 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 (0.96)
• Looking at excess return divided by the downside deviation in of 0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.82).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 40 of Global X Lithium & Battery Tech ETF is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 31 , which is greater, thus worse than the value of 3.48 from the benchmark.

MaxDD:

'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.'

• Looking at the maximum DrawDown of -65.9 days 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 (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -53 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days below previous high of 1068 days 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 (488 days)
• Looking at maximum days under water in of 616 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 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.'

• Looking at the average time in days below previous high water mark of 469 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 (119 days)
• Looking at average days under water in of 264 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (19 days).