Global X MSCI Norway ETF (NORW)

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.'

• Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return, or increase in value of -13.9% of Global X MSCI Norway ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is 30.1%, which is lower, thus worse than the value of 46.6% from the benchmark.

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 return (CAGR) of -2.9% 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 (10.9%)
• During the last 3 years, the annual return (CAGR) is 9.2%, which is lower, thus worse than the value of 13.6% 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 volatility over 5 years of Global X MSCI Norway ETF is 21.6%, which is larger, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the volatility of 18.4% 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 risk of 23.2% 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 (14.6%)
• During the last 3 years, the downside risk is 20.5%, which is larger, thus worse than the value of 14.2% from the benchmark.

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 Sharpe Ratio over 5 years of Global X MSCI Norway ETF is -0.25, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.36, which is lower, thus worse than the value of 0.89 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of -0.23 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 (0.58)
• Compared with SPY (0.78) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.33 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 Index of 27 in the last 5 years of Global X MSCI Norway ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.96 )
• Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Index of 7.48 is larger, thus better.

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -50.9 days of Global X MSCI Norway ETF is lower, thus worse.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -24.1 days is lower, thus worse.

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.'

• Looking at the maximum time in days below previous high water mark of 1237 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 (187 days)
• During the last 3 years, the maximum time in days below previous high water mark is 161 days, which is higher, thus worse than the value of 139 days from the benchmark.

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.'

• Looking at the average days under water of 615 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 (41 days)
• Looking at average days below previous high in of 38 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).