Defiance Hotel, Airline, and Cruise ETF (CRUZ)

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.'

• The total return, or increase in value over 5 years of Defiance Hotel, Airline, and Cruise ETF is %, which is lower, thus worse compared to the benchmark SPY (88%) in the same period.
• Looking at total return, or increase in value in of 6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (74.6%).

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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the annual performance (CAGR) of % of Defiance Hotel, Airline, and Cruise ETF is lower, thus worse.
• Compared with SPY (20.5%) in the period of the last 3 years, the annual performance (CAGR) of 2% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The volatility over 5 years of Defiance Hotel, Airline, and Cruise ETF is %, which is lower, thus better compared to the benchmark SPY (17.1%) in the same period.
• Looking at volatility in of 26.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.2%).

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.'

• The downside risk over 5 years of Defiance Hotel, Airline, and Cruise ETF is %, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside risk in of 18.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.2%).

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.'

• The risk / return profile (Sharpe) over 5 years of Defiance Hotel, Airline, and Cruise ETF is , which is smaller, thus worse compared to the benchmark SPY (0.64) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.02, which is lower, thus worse than the value of 1.18 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 Defiance Hotel, Airline, and Cruise ETF is , which is lower, thus worse compared to the benchmark SPY (0.93) in the same period.
• 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 1.76 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.'

• The Ulcer Ratio over 5 years of Defiance Hotel, Airline, and Cruise ETF is , which is lower, thus better compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Downside risk index of 14 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of days of Defiance Hotel, Airline, and Cruise ETF is lower, thus worse.
• Looking at maximum drop from peak to valley in of -34.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Looking at the maximum days below previous high of days in the last 5 years of Defiance Hotel, Airline, and Cruise ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 289 days, which is larger, thus worse than the value of 87 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.'

• The average time in days below previous high water mark over 5 years of Defiance Hotel, Airline, and Cruise ETF is days, which is smaller, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 90 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).