Description of First Trust US Equity Opportunities ETF

First Trust US Equity Opportunities ETF

Statistics of First Trust US Equity Opportunities ETF (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (74.4%) in the period of the last 5 years, the total return of 68.1% of First Trust US Equity Opportunities ETF is smaller, thus worse.
  • During the last 3 years, the total return, or increase in value is 48.8%, which is greater, thus better than the value of 48.6% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the annual return (CAGR) of 11% of First Trust US Equity Opportunities ETF is lower, thus worse.
  • Compared with SPY (14.1%) in the period of the last 3 years, the annual performance (CAGR) of 14.2% is larger, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 15.7% of First Trust US Equity Opportunities ETF is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 14.9%, which is larger, thus worse than the value of 12.8% from the benchmark.

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 (14.8%) in the period of the last 5 years, the downside volatility of 17.9% of First Trust US Equity Opportunities ETF is greater, thus worse.
  • During the last 3 years, the downside deviation is 17.1%, which is higher, thus worse than the value of 14.6% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.69) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.54 of First Trust US Equity Opportunities ETF is lower, thus worse.
  • Looking at Sharpe Ratio in of 0.79 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.47 in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.63)
  • During the last 3 years, the excess return divided by the downside deviation is 0.69, which is smaller, thus worse than the value of 0.79 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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 6.63 in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 5.21 is higher, 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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of First Trust US Equity Opportunities ETF is -24.1 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -23.5 days, which is smaller, thus worse than the value of -19.3 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.'

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 under water of 388 days of First Trust US Equity Opportunities ETF is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 147 days, which is greater, 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:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 89 days of First Trust US Equity Opportunities ETF is greater, thus worse.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 37 days is higher, thus worse.

Performance of First Trust US Equity Opportunities ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of First Trust US Equity Opportunities ETF
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Allocations

Returns of First Trust US Equity Opportunities ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of First Trust US Equity Opportunities 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.