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.'

• Compared with the benchmark SPY (80.1%) in the period of the last 5 years, the total return of 71.3% of Amplify Transformational Data Sharing ETF is lower, thus worse.
• Looking at total return, or performance in of -5.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.8%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Amplify Transformational Data Sharing ETF is 11.4%, which is smaller, thus worse compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -1.9%, which is lower, 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.'

• Looking at the 30 days standard deviation of 39.9% 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 (21.3%)
• Looking at volatility in of 46.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside risk over 5 years of Amplify Transformational Data Sharing ETF is 27.9%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Looking at downside volatility in of 32.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 0.22 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 (0.47)
• During the last 3 years, the Sharpe Ratio is -0.09, which is smaller, thus worse than the value of 0.39 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of Amplify Transformational Data Sharing ETF is 0.32, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.14, which is lower, thus worse than the value of 0.56 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.'

• Looking at the Downside risk index of 38 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 (9.43 )
• Looking at Downside risk index in of 49 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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 DrawDown 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 (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -73.3 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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.'

• Compared with the benchmark SPY (478 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 516 days of Amplify Transformational Data Sharing ETF is larger, thus worse.
• Looking at maximum days below previous high in of 516 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (478 days).

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.'

• The average days under water over 5 years of Amplify Transformational Data Sharing ETF is 140 days, which is larger, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days below previous high is 206 days, which is higher, thus worse than the value of 173 days from the benchmark.