First Trust US Equity Opportunities ETF (FPX)

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, or increase in value over 5 years of First Trust US Equity Opportunities ETF is 41.1%, which is lower, thus worse compared to the benchmark SPY (100.5%) in the same period.
• Looking at total return, or performance in of 117.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (86.9%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of First Trust US Equity Opportunities ETF is 7.2%, which is lower, thus worse compared to the benchmark SPY (15%) in the same period.
• Looking at annual performance (CAGR) in of 29.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (23.4%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 26.9% of First Trust US Equity Opportunities ETF is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 25.6%, which is larger, thus worse than the value of 15.4% from the benchmark.

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 volatility over 5 years of First Trust US Equity Opportunities ETF is 19.2%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 17.6%, which is greater, thus worse than the value of 10.2% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.17 in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.73)
• Compared with SPY (1.36) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.06 is smaller, thus worse.

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.'

• The downside risk / excess return profile over 5 years of First Trust US Equity Opportunities ETF is 0.24, which is lower, thus worse compared to the benchmark SPY (1.06) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.55, which is lower, thus worse than the value of 2.04 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 Ratio of 25 in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Index is 7.99 , which is greater, thus worse than the value of 3.52 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum reduction from previous high over 5 years of First Trust US Equity Opportunities ETF is -43.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -30.9 days, which is lower, thus worse than the value of -18.8 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'

• Looking at the maximum days below previous high of 811 days in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 122 days, which is larger, thus worse than the value of 87 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.'

• Looking at the average days under water of 292 days in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 34 days is larger, thus worse.