Description of Global X MSCI Norway ETF

Global X MSCI Norway ETF

Statistics of Global X MSCI Norway ETF (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (67.6%) in the period of the last 5 years, the total return, or performance of -1.9% of Global X MSCI Norway ETF is lower, thus worse.
  • Compared with SPY (51.3%) in the period of the last 3 years, the total return, or increase in value of 25.6% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of -0.4% 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 (10.9%)
  • During the last 3 years, the annual return (CAGR) is 7.9%, which is lower, thus worse than the value of 14.8% 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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of Global X MSCI Norway ETF is 21.4%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at historical 30 days volatility in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

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.'

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of Global X MSCI Norway ETF is 23%, which is greater, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside volatility of 18% is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • The ratio of return and volatility (Sharpe) over 5 years of Global X MSCI Norway ETF is -0.13, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Compared with SPY (0.96) in the period of the last 3 years, the Sharpe Ratio of 0.33 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of -0.13 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 (0.57)
  • Compared with SPY (0.84) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.3 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.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of Global X MSCI Norway ETF is 17 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 10 , which is greater, thus worse than the value of 4.1 from the benchmark.

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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of Global X MSCI Norway ETF is -39.9 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum reduction from previous high in of -24.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 710 days of Global X MSCI Norway ETF is larger, thus worse.
  • Looking at maximum time in days below previous high water mark in of 290 days in the period of the last 3 years, we see it is relatively larger, 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.'

Using this definition on our asset we see for example:
  • The average time in days below previous high water mark over 5 years of Global X MSCI Norway ETF is 243 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 75 days is larger, thus worse.

Performance of Global X MSCI Norway ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Global X MSCI Norway ETF
()

Allocations

Returns of Global X MSCI Norway ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Global X MSCI Norway ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.