Global X MSCI Norway ETF (NORW)

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.'

• Compared with the benchmark SPY (80.4%) in the period of the last 5 years, the total return, or performance of 39.5% of Global X MSCI Norway ETF is smaller, thus worse.
• Compared with SPY (30.7%) in the period of the last 3 years, the total return of 0.8% is lower, 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.'

• Looking at the annual performance (CAGR) of 6.9% in the last 5 years of Global X MSCI Norway ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.6%)
• Compared with SPY (9.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.3% 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.'

• The 30 days standard deviation over 5 years of Global X MSCI Norway ETF is 23.6%, which is greater, thus worse compared to the benchmark SPY (21.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 23% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (15.3%) in the period of the last 5 years, the downside deviation of 17.2% of Global X MSCI Norway ETF is higher, thus worse.
• During the last 3 years, the downside risk is 16.5%, which is larger, thus worse than the value of 12.3% 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.'

• Looking at the risk / return profile (Sharpe) of 0.19 in the last 5 years of Global X MSCI Norway ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.47)
• Compared with SPY (0.39) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.1 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the excess return divided by the downside deviation of 0.26 of Global X MSCI Norway ETF is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of -0.14 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

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 Ulcer Index over 5 years of Global X MSCI Norway ETF is 13 , which is greater, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 16 is greater, 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.4 days of Global X MSCI Norway ETF is larger, thus better.
• During the last 3 years, the maximum DrawDown 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 419 days, which is lower, thus better compared to the benchmark SPY (479 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 419 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (479 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 days below previous high of 101 days in the last 5 years of Global X MSCI Norway ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• Compared with SPY (173 days) in the period of the last 3 years, the average days below previous high of 143 days is lower, thus better.