Global X MSCI Norway ETF (NORW)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.5%) in the period of the last 5 years, the total return, or performance of 21.4% of Global X MSCI Norway ETF is smaller, thus worse.
• Compared with SPY (39.8%) in the period of the last 3 years, the total return, or increase in value of 12.5% is smaller, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The compounded annual growth rate (CAGR) over 5 years of Global X MSCI Norway ETF is 4%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual return (CAGR) in of 4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.8%).

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the volatility of 23.4% of Global X MSCI Norway ETF is greater, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 23.3% is higher, 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.'

• Looking at the downside volatility of 17.1% in the last 5 years of Global X MSCI Norway ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.4%)
• During the last 3 years, the downside volatility is 16.9%, which is higher, thus worse than the value of 13.3% 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 ratio of return and volatility (Sharpe) over 5 years of Global X MSCI Norway ETF is 0.06, which is smaller, thus worse compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.06, which is lower, thus worse than the value of 0.5 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 0.09 in the last 5 years of Global X MSCI Norway ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
• During the last 3 years, the ratio of annual return and downside deviation is 0.09, which is smaller, thus worse than the value of 0.7 from the benchmark.

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 (9.48 ) in the period of the last 5 years, the Downside risk index of 12 of Global X MSCI Norway ETF is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 13 is higher, 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.'

• The maximum drop from peak to valley over 5 years of Global X MSCI Norway ETF is -33.5 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -32.7 days, which is smaller, thus worse than the value of -24.5 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) in days.'

• The maximum days under water over 5 years of Global X MSCI Norway ETF is 303 days, which is lower, thus better compared to the benchmark SPY (358 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 298 days, which is smaller, thus better than the value of 358 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 time in days below previous high water mark over 5 years of Global X MSCI Norway ETF is 96 days, which is larger, thus worse compared to the benchmark SPY (80 days) in the same period.
• Compared with SPY (104 days) in the period of the last 3 years, the average time in days below previous high water mark of 86 days is smaller, thus better.