Amplify Transformational Data Sharing ETF (BLOK)

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.'

• The total return, or increase in value over 5 years of Amplify Transformational Data Sharing ETF is 154.4%, which is larger, thus better compared to the benchmark SPY (101%) in the same period.
• During the last 3 years, the total return is 290.9%, which is larger, thus better than the value of 76% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 20.6% in the last 5 years of Amplify Transformational Data Sharing ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (15%)
• Looking at annual return (CAGR) in of 57.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (20.8%).

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.'

• Looking at the historical 30 days volatility of 44.9% in the last 5 years of Amplify Transformational Data Sharing ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (15.7%) in the period of the last 3 years, the historical 30 days volatility of 39.9% is greater, thus worse.

DownVol:

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

• Looking at the downside deviation of 30.6% in the last 5 years of Amplify Transformational Data Sharing ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside volatility in of 26% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.5%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.4 in the last 5 years of Amplify Transformational Data Sharing ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.73)
• Looking at risk / return profile (Sharpe) in of 1.38 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.17).

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.'

• Compared with the benchmark SPY (1.07) in the period of the last 5 years, the downside risk / excess return profile of 0.59 of Amplify Transformational Data Sharing ETF is lower, thus worse.
• Compared with SPY (1.75) in the period of the last 3 years, the downside risk / excess return profile of 2.13 is higher, thus better.

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 Ratio of 42 in the last 5 years of Amplify Transformational Data Sharing ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Index is 12 , which is larger, thus worse than the value of 3.63 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum reduction from previous high of -73.3 days in the last 5 years of Amplify Transformational Data Sharing ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -35.3 days is smaller, 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.'

• The maximum time in days below previous high water mark over 5 years of Amplify Transformational Data Sharing ETF is 885 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 105 days, which is higher, thus worse than the value of 87 days from the benchmark.

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.'

• The average days below previous high over 5 years of Amplify Transformational Data Sharing ETF is 341 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 31 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).