Description of First Trust Global Wind Energy ETF

First Trust Global Wind Energy ETF

Statistics of First Trust Global Wind Energy ETF (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.'

Which means for our asset as example:
  • Looking at the total return of 24.5% in the last 5 years of First Trust Global Wind Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.1%)
  • Looking at total return, or increase in value in of 19% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.2%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of 4.5% of First Trust Global Wind Energy ETF is lower, thus worse.
  • Looking at annual performance (CAGR) in of 6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.5%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the 30 days standard deviation of 16.5% of First Trust Global Wind Energy ETF is larger, thus worse.
  • Compared with SPY (12.3%) in the period of the last 3 years, the volatility of 13.1% is larger, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 17.6% of First Trust Global Wind Energy ETF is higher, thus worse.
  • Looking at downside volatility in of 13.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.9%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.61) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.12 of First Trust Global Wind Energy ETF is smaller, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of 0.11 in the last 5 years of First Trust Global Wind Energy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.8) in the period of the last 3 years, the excess return divided by the downside deviation of 0.25 is smaller, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 9.43 of First Trust Global Wind Energy ETF is greater, thus worse.
  • Looking at Ulcer Index in of 7.18 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.04 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -21.6 days of First Trust Global Wind Energy ETF is lower, thus worse.
  • During the last 3 years, the maximum drop from peak to valley is -19.6 days, which is lower, thus worse than the value of -19.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 466 days of First Trust Global Wind Energy ETF is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 280 days, which is larger, thus worse than the value of 139 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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of First Trust Global Wind Energy ETF is 139 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average days under water is 82 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of First Trust Global Wind Energy ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of First Trust Global Wind Energy ETF
()

Allocations

Returns of First Trust Global Wind Energy ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of First Trust Global Wind Energy 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.