Description

The investment seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Solactive Global Fertilizers/Potash Total Return Index. The fund invests at least 80% of its total assets in the securities of the underlying index and in American Depositary Receipts (ADRs) and Global Depositary Receipts (GDRs) based on the securities in the underlying index. The underlying index is designed to track the performance of the largest listed companies globally that are active in some aspect of the fertilizer/potash industry. The fund is non-diversified.

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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of Global X Fertilizers/Potash ETF is -11.5%, which is smaller, thus worse compared to the benchmark SPY (58.9%) in the same period.
  • During the last 3 years, the total return, or performance is -10.5%, which is smaller, thus worse than the value of 33.9% 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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of -2.5% in the last 5 years of Global X Fertilizers/Potash ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.7%)
  • Looking at compounded annual growth rate (CAGR) in of -3.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.2%).

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Global X Fertilizers/Potash ETF is 22.4%, which is greater, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • Looking at volatility in of 24.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (25%).

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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Global X Fertilizers/Potash ETF is 16.6%, which is higher, thus worse compared to the benchmark SPY (15.7%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the downside deviation of 18.3% is higher, 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.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of Global X Fertilizers/Potash ETF is -0.22, which is smaller, thus worse compared to the benchmark SPY (0.33) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of -0.25 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.31).

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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of -0.3 in the last 5 years of Global X Fertilizers/Potash ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.46)
  • During the last 3 years, the ratio of annual return and downside deviation is -0.34, which is lower, thus worse than the value of 0.43 from the benchmark.

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 16 in the last 5 years of Global X Fertilizers/Potash ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.91 )
  • During the last 3 years, the Ulcer Ratio is 18 , which is higher, thus worse than the value of 11 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:
  • Looking at the maximum drop from peak to valley of -50.3 days in the last 5 years of Global X Fertilizers/Potash ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -50.3 days is lower, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of Global X Fertilizers/Potash ETF is 642 days, which is higher, thus worse compared to the benchmark SPY (271 days) in the same period.
  • During the last 3 years, the maximum days under water is 642 days, which is higher, thus worse than the value of 271 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.'

Using this definition on our asset we see for example:
  • Looking at the average time in days below previous high water mark of 267 days in the last 5 years of Global X Fertilizers/Potash ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (60 days)
  • Looking at average time in days below previous high water mark in of 287 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (72 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 Fertilizers/Potash 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.