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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (64.1%) in the period of the last 5 years, the total return of 61.8% of First Trust US Equity Opportunities ETF is smaller, thus worse.
  • Looking at total return, or increase in value in of 47.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.1%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the annual return (CAGR) of 10.1% of First Trust US Equity Opportunities ETF is lower, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 14%, which is higher, thus better than the value of 14% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 15.9% of First Trust US Equity Opportunities ETF is higher, thus worse.
  • Looking at volatility in of 14.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

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

Which means for our asset as example:
  • The downside volatility over 5 years of First Trust US Equity Opportunities ETF is 18.1%, which is larger, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (14.5%) in the period of the last 3 years, the downside volatility of 16.8% is higher, thus worse.

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:
  • The risk / return profile (Sharpe) over 5 years of First Trust US Equity Opportunities ETF is 0.48, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.77, which is lower, thus worse than the value of 0.9 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.53) in the period of the last 5 years, the downside risk / excess return profile of 0.42 of First Trust US Equity Opportunities ETF is lower, thus worse.
  • Looking at downside risk / excess return profile in of 0.68 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.79).

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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of First Trust US Equity Opportunities ETF is 6.59 , which is greater, thus worse compared to the benchmark SPY (4.02 ) in the same period.
  • Looking at Ulcer Ratio in of 5.03 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.09 ).

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:
  • Looking at the maximum drop from peak to valley of -24.1 days 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 (-19.3 days)
  • Looking at maximum DrawDown in of -23.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 388 days in the last 5 years of First Trust US Equity Opportunities ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 147 days, which is higher, 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 (41 days) in the period of the last 5 years, the average days under water of 86 days of First Trust US Equity Opportunities ETF is higher, thus worse.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 33 days is smaller, thus better.

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 (%)

  • "Year" returns in the table above are not equal to 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.