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 (91.8%) in the period of the last 5 years, the total return, or increase in value of 33.3% of Global X MSCI Norway ETF is lower, thus worse.
• Looking at total return, or performance in of -9.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.9%).

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 5.9% 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 (13.9%)
• During the last 3 years, the annual return (CAGR) is -3.4%, which is smaller, thus worse than the value of 9.5% 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.'

• The historical 30 days volatility over 5 years of Global X MSCI Norway ETF is 24.2%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• During the last 3 years, the volatility is 23%, which is higher, thus worse than the value of 17.5% from the benchmark.

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.'

• Looking at the downside risk of 17.7% 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 (15%)
• Looking at downside risk in of 16.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of Global X MSCI Norway ETF is 0.14, which is smaller, thus worse compared to the benchmark SPY (0.54) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.4).

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 (0.76) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.19 of Global X MSCI Norway ETF is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.35 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.57).

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 Index of 15 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 (9.33 )
• Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (8.89 ).

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 drop from peak to valley of -33.5 days in the last 5 years of Global X MSCI Norway ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -32.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.4 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.'

• The maximum time in days below previous high water mark over 5 years of Global X MSCI Norway ETF is 700 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum days below previous high of 700 days is larger, thus worse.

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 under water of 225 days 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 (122 days)
• Looking at average days below previous high in of 331 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (114 days).