Amplify Transformational Data Sharing ETF (BLOK)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 251.5% 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 (115.2%)
• Compared with SPY (70.9%) in the period of the last 3 years, the total return of 237.1% is larger, 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.'

• The annual return (CAGR) over 5 years of Amplify Transformational Data Sharing ETF is 28.7%, which is higher, thus better compared to the benchmark SPY (16.6%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 50.3%, which is greater, thus better than the value of 19.7% 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.'

• Looking at the historical 30 days volatility of 44.2% 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 (17.6%)
• Looking at volatility in of 41.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

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.'

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside risk of 29.9% of Amplify Transformational Data Sharing ETF is larger, thus worse.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside deviation of 26.9% is larger, 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.'

• Looking at the risk / return profile (Sharpe) of 0.59 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 (0.81)
• During the last 3 years, the risk / return profile (Sharpe) is 1.16, which is larger, thus better than the value of 0.98 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.'

• Compared with the benchmark SPY (1.17) in the period of the last 5 years, the excess return divided by the downside deviation of 0.88 of Amplify Transformational Data Sharing ETF is lower, thus worse.
• Compared with SPY (1.49) in the period of the last 3 years, the excess return divided by the downside deviation of 1.78 is greater, thus better.

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.'

• Looking at the Ulcer Index 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 (8.48 )
• Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.31 ).

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.'

• 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 smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -41.4 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 885 days of Amplify Transformational Data Sharing ETF is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 225 days, which is greater, thus worse than the value of 199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 344 days of Amplify Transformational Data Sharing ETF is larger, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 61 days, which is larger, thus worse than the value of 47 days from the benchmark.