Global X MSCI Nigeria ETF (NGE)

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.'

• The total return over 5 years of Global X MSCI Nigeria ETF is -49.1%, which is lower, thus worse compared to the benchmark SPY (60.7%) in the same period.
• During the last 3 years, the total return is -29.2%, which is lower, thus worse than the value of 29.5% 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.'

• Looking at the annual return (CAGR) of -12.7% 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 (10%)
• During the last 3 years, the annual performance (CAGR) is -10.9%, which is lower, thus worse than the value of 9% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 25.7% 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 (20.8%)
• Compared with SPY (24%) in the period of the last 3 years, the volatility of 27.6% is higher, thus worse.

DownVol:

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

• The downside deviation over 5 years of Global X MSCI Nigeria ETF is 18.7%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 20.3% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The Sharpe Ratio over 5 years of Global X MSCI Nigeria ETF is -0.59, which is smaller, thus worse compared to the benchmark SPY (0.36) in the same period.
• Compared with SPY (0.27) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.48 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.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.81 of Global X MSCI Nigeria ETF is lower, thus worse.
• Compared with SPY (0.37) in the period of the last 3 years, the excess return divided by the downside deviation of -0.66 is lower, 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.'

• The Downside risk index over 5 years of Global X MSCI Nigeria ETF is 45 , which is higher, thus worse compared to the benchmark SPY (7.52 ) in the same period.
• Looking at Downside risk index in of 26 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.81 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -67.2 days of Global X MSCI Nigeria ETF is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -47.7 days is smaller, thus worse.

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) in days.'

• Looking at the maximum days below previous high of 1179 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 (182 days)
• During the last 3 years, the maximum days below previous high is 675 days, which is higher, thus worse than the value of 182 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.'

• The average days below previous high over 5 years of Global X MSCI Nigeria ETF is 560 days, which is greater, thus worse compared to the benchmark SPY (45 days) in the same period.
• Looking at average days under water in of 307 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (43 days).