Description

ETFMG Travel Tech 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.'

Which means for our asset as example:
  • Looking at the total return, or performance of % in the last 5 years of ETFMG Travel Tech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (80.1%)
  • During the last 3 years, the total return, or performance is -28.6%, which is lower, thus worse than the value of 30.8% from the benchmark.

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:
  • Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual performance (CAGR) of % of ETFMG Travel Tech ETF is lower, thus worse.
  • During the last 3 years, the annual performance (CAGR) is -10.6%, which is smaller, thus worse than the value of 9.4% 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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of ETFMG Travel Tech ETF is %, which is lower, thus better compared to the benchmark SPY (21.3%) in the same period.
  • Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 30.5% is larger, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside risk of % of ETFMG Travel Tech ETF is lower, thus better.
  • During the last 3 years, the downside volatility is 21.5%, which is larger, thus worse than the value of 12.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of ETFMG Travel Tech ETF is , which is smaller, thus worse compared to the benchmark SPY (0.47) in the same period.
  • Looking at Sharpe Ratio in of -0.43 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.66) in the period of the last 5 years, the downside risk / excess return profile of of ETFMG Travel Tech ETF is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is -0.61, which is smaller, thus worse than the value of 0.56 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Index of of ETFMG Travel Tech ETF is lower, thus better.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 39 is larger, 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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of ETFMG Travel Tech ETF is days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -56.6 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of days in the last 5 years of ETFMG Travel Tech ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (478 days)
  • Looking at maximum days under water in of 682 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (478 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average time in days below previous high water mark of days of ETFMG Travel Tech ETF is lower, thus better.
  • During the last 3 years, the average days under water is 317 days, which is larger, thus worse than the value of 173 days from the benchmark.

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 ETFMG Travel Tech 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.