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.'

• Looking at the total return, or increase in value of 69.2% 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 (107.6%)
• Compared with SPY (48.1%) in the period of the last 3 years, the total return of 17.7% is smaller, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 11.1% 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 (15.8%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.6%, which is lower, thus worse than the value of 14% from the benchmark.

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 22.5%, which is larger, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Looking at historical 30 days volatility in of 23.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.3%).

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 (12.5%) in the period of the last 5 years, the downside volatility of 16.1% of Global X MSCI Norway ETF is greater, thus worse.
• Compared with SPY (12.4%) in the period of the last 3 years, the downside risk of 16.5% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Global X MSCI Norway ETF is 0.38, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at Sharpe Ratio in of 0.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

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 (1.06) in the period of the last 5 years, the excess return divided by the downside deviation of 0.54 of Global X MSCI Norway ETF is lower, thus worse.
• Compared with SPY (0.93) in the period of the last 3 years, the excess return divided by the downside deviation of 0.19 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 15 in the last 5 years of Global X MSCI Norway ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• Compared with SPY (5.54 ) in the period of the last 3 years, the Ulcer Ratio of 12 is higher, thus worse.

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.'

• Looking at the maximum reduction from previous high of -32.7 days 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 (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -26.6 days, which is lower, thus worse than the value of -18.8 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 time in days below previous high water mark over 5 years of Global X MSCI Norway ETF is 780 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 696 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 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 time in days below previous high water mark of 272 days in the last 5 years of Global X MSCI Norway ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 330 days is greater, thus worse.