First Trust Water ETF (FIW)

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 over 5 years of First Trust Water ETF is 66.6%, which is larger, thus better compared to the benchmark SPY (60.7%) in the same period.
• During the last 3 years, the total return is 33.3%, which is higher, thus better than the value of 29.5% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 10.8% in the last 5 years of First Trust Water ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (10%)
• Compared with SPY (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10% is greater, thus better.

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.'

• Looking at the 30 days standard deviation of 22.7% in the last 5 years of First Trust Water ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.8%)
• Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 26.3% is larger, thus worse.

DownVol:

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

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 16.3% of First Trust Water ETF is higher, thus worse.
• During the last 3 years, the downside deviation is 19%, which is higher, thus worse than the value of 17.6% from the benchmark.

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 Sharpe Ratio of 0.36 in the last 5 years of First Trust Water ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.36)
• During the last 3 years, the Sharpe Ratio is 0.29, which is higher, thus better than the value of 0.27 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 0.51 in the last 5 years of First Trust Water ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.49)
• During the last 3 years, the excess return divided by the downside deviation is 0.4, which is greater, thus better than the value of 0.37 from the benchmark.

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 Index of 9.11 in the last 5 years of First Trust Water ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (7.52 )
• During the last 3 years, the Downside risk index is 11 , which is higher, thus worse than the value of 8.81 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.'

• The maximum reduction from previous high over 5 years of First Trust Water ETF is -36.6 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -36.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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). 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'

• Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 211 days of First Trust Water ETF is greater, thus worse.
• Compared with SPY (182 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 211 days is greater, thus worse.

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 (45 days) in the period of the last 5 years, the average days below previous high of 48 days of First Trust Water ETF is higher, thus worse.
• During the last 3 years, the average days under water is 58 days, which is greater, thus worse than the value of 43 days from the benchmark.