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 (95%) in the period of the last 5 years, the total return, or increase in value of -68.1% of Global X MSCI Nigeria ETF is lower, thus worse.
• During the last 3 years, the total return, or increase in value is -47.5%, which is lower, thus worse than the value of 40.5% 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.'

• Compared with the benchmark SPY (14.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -20.5% of Global X MSCI Nigeria ETF is lower, thus worse.
• Compared with SPY (12%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -19.4% is lower, thus worse.

Volatility:

'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.'

• Looking at the 30 days standard deviation of 28.2% in the last 5 years of Global X MSCI Nigeria ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.8%)
• Looking at volatility in of 27.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.4%).

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 (13.7%) in the period of the last 5 years, the downside risk of 21.6% of Global X MSCI Nigeria ETF is greater, thus worse.
• During the last 3 years, the downside deviation is 20.5%, which is higher, thus worse than the value of 16.5% from the benchmark.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of Global X MSCI Nigeria ETF is -0.82, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.81 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.43).

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.'

• Compared with the benchmark SPY (0.86) in the period of the last 5 years, the downside risk / excess return profile of -1.06 of Global X MSCI Nigeria ETF is lower, thus worse.
• Compared with SPY (0.58) in the period of the last 3 years, the excess return divided by the downside deviation of -1.07 is smaller, thus worse.

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.'

• Looking at the Ulcer Index of 47 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 (5.79 )
• Compared with SPY (7.09 ) in the period of the last 3 years, the Ulcer Ratio of 40 is greater, thus worse.

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.'

• The maximum DrawDown over 5 years of Global X MSCI Nigeria ETF is -73.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -67.2 days, which is lower, thus worse than the value of -33.7 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'

• The maximum time in days below previous high water mark over 5 years of Global X MSCI Nigeria ETF is 1255 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days below previous high in of 680 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

• Looking at the average days under water of 628 days in the last 5 years of Global X MSCI Nigeria ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
• During the last 3 years, the average time in days below previous high water mark is 314 days, which is greater, thus worse than the value of 45 days from the benchmark.