Global X MSCI Nigeria ETF (NGE)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (58.9%) in the period of the last 5 years, the total return of -51.5% of Global X MSCI Nigeria ETF is lower, thus worse.
• During the last 3 years, the total return, or increase in value is -19.9%, which is lower, thus worse than the value of 33.9% from the benchmark.

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 -13.5% in the last 5 years of Global X MSCI Nigeria ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.7%)
• During the last 3 years, the annual performance (CAGR) is -7.1%, which is smaller, thus worse than the value of 10.2% 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 30 days standard deviation of 25.8% in the last 5 years of Global X MSCI Nigeria ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.6%)
• During the last 3 years, the historical 30 days volatility is 28.4%, which is larger, thus worse than the value of 25% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the downside risk of 18.8% of Global X MSCI Nigeria ETF is larger, thus worse.
• During the last 3 years, the downside deviation is 20.5%, which is larger, thus worse than the value of 18.1% 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 Sharpe Ratio over 5 years of Global X MSCI Nigeria ETF is -0.62, which is lower, thus worse compared to the benchmark SPY (0.33) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.34, which is lower, thus worse than the value of 0.31 from the benchmark.

Sortino:

'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.'

• Looking at the ratio of annual return and downside deviation of -0.85 in the last 5 years of Global X MSCI Nigeria ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.46)
• Looking at downside risk / excess return profile in of -0.47 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.43).

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 (8.91 ) in the period of the last 5 years, the Downside risk index of 46 of Global X MSCI Nigeria ETF is higher, thus worse.
• Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Ratio of 26 is larger, thus worse.

MaxDD:

'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.'

• Looking at the maximum drop from peak to valley of -65.7 days in the last 5 years of Global X MSCI Nigeria ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -43.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

• The maximum days below previous high over 5 years of Global X MSCI Nigeria ETF is 1258 days, which is larger, thus worse compared to the benchmark SPY (271 days) in the same period.
• During the last 3 years, the maximum days under water is 512 days, which is greater, thus worse than the value of 271 days from the benchmark.

AveDuration:

'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.'

• The average days under water over 5 years of Global X MSCI Nigeria ETF is 630 days, which is higher, thus worse compared to the benchmark SPY (60 days) in the same period.
• Looking at average days under water in of 213 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (72 days).