Description

Amplify Lithium & Battery Technology ETF

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Looking at the total return of -20.6% in the last 5 years of Amplify Lithium & Battery Technology ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (57.1%)
  • Compared with SPY (32%) in the period of the last 3 years, the total return, or performance of 10% is smaller, thus worse.

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of -4.5% in the last 5 years of Amplify Lithium & Battery Technology ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.5%)
  • Compared with SPY (9.7%) in the period of the last 3 years, the annual performance (CAGR) of 3.3% is lower, thus worse.

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 Amplify Lithium & Battery Technology ETF is 31.9%, which is larger, thus worse compared to the benchmark SPY (21.5%) in the same period.
  • Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 31.3% is greater, 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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Amplify Lithium & Battery Technology ETF is 22.9%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
  • Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 21.5% 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:
  • The ratio of return and volatility (Sharpe) over 5 years of Amplify Lithium & Battery Technology ETF is -0.22, which is lower, thus worse compared to the benchmark SPY (0.32) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.02, which is smaller, thus worse than the value of 0.41 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of -0.31 in the last 5 years of Amplify Lithium & Battery Technology ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.45)
  • During the last 3 years, the excess return divided by the downside deviation is 0.03, which is lower, thus worse than the value of 0.58 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Amplify Lithium & Battery Technology ETF is 27 , which is greater, thus worse compared to the benchmark SPY (9.57 ) in the same period.
  • Looking at Ulcer Index in of 24 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Amplify Lithium & Battery Technology ETF is -59.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -43.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of Amplify Lithium & Battery Technology ETF is 554 days, which is greater, thus worse compared to the benchmark SPY (439 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 477 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (439 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:
  • Looking at the average days below previous high of 229 days in the last 5 years of Amplify Lithium & Battery Technology ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (106 days)
  • Compared with SPY (149 days) in the period of the last 3 years, the average time in days below previous high water mark of 181 days is higher, thus worse.

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 Amplify Lithium & Battery Technology 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.