Description

Global X Silver Miners ETF

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (101.8%) in the period of the last 5 years, the total return, or performance of 53.2% of Global X Silver Miners ETF is lower, thus worse.
  • Compared with SPY (52%) in the period of the last 3 years, the total return, or increase in value of 60.8% is greater, thus better.

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 return (CAGR) of 8.9% in the last 5 years of Global X Silver Miners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.1%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 17.2%, which is larger, thus better than the value of 15% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • The volatility over 5 years of Global X Silver Miners ETF is 38.6%, which is higher, thus worse compared to the benchmark SPY (17.8%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 36.5%, which is greater, thus worse than the value of 18.1% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of Global X Silver Miners ETF is 26.3%, which is greater, thus worse compared to the benchmark SPY (12.4%) in the same period.
  • Compared with SPY (12.2%) in the period of the last 3 years, the downside risk of 24.7% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.71) in the period of the last 5 years, the Sharpe Ratio of 0.17 of Global X Silver Miners ETF is lower, thus worse.
  • Looking at Sharpe Ratio in of 0.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.69).

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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of Global X Silver Miners ETF is 0.24, which is smaller, thus worse compared to the benchmark SPY (1.01) in the same period.
  • Looking at excess return divided by the downside deviation in of 0.6 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.03).

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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 34 in the last 5 years of Global X Silver Miners ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.49 )
  • During the last 3 years, the Ulcer Index is 16 , which is greater, thus worse than the value of 5.53 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -56.8 days of Global X Silver Miners ETF is smaller, thus worse.
  • Looking at maximum drop from peak to valley in of -31 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1213 days of Global X Silver Miners ETF is higher, thus worse.
  • Looking at maximum days below previous high in of 269 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.'

Which means for our asset as example:
  • The average days under water over 5 years of Global X Silver Miners ETF is 594 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
  • Looking at average time in days below previous high water mark in of 79 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (46 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Global X Silver Miners ETF are hypothetical and do not account for slippage, fees or taxes.