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.'

• Compared with the benchmark SPY (90.8%) in the period of the last 5 years, the total return, or performance of 25.6% of First Trust US Equity Opportunities ETF is lower, thus worse.
• During the last 3 years, the total return, or performance is 91.5%, which is higher, thus better than the value of 75.3% from the benchmark.

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.'

• Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.7% of First Trust US Equity Opportunities ETF is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 24.3%, which is greater, thus better than the value of 20.7% from the benchmark.

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%) in the period of the last 5 years, the historical 30 days volatility of 26.8% of First Trust US Equity Opportunities ETF is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 25.6%, which is greater, thus worse than the value of 15.2% 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.'

• The downside risk over 5 years of First Trust US Equity Opportunities ETF is 19.2%, which is higher, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside risk of 17.7% is greater, 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.'

• Looking at the risk / return profile (Sharpe) of 0.08 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 (0.67)
• Looking at risk / return profile (Sharpe) in of 0.85 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.2).

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.'

• Compared with the benchmark SPY (0.97) in the period of the last 5 years, the downside risk / excess return profile of 0.11 of First Trust US Equity Opportunities ETF is lower, thus worse.
• Compared with SPY (1.78) in the period of the last 3 years, the excess return divided by the downside deviation of 1.23 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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 25 of First Trust US Equity Opportunities ETF is greater, thus worse.
• Compared with SPY (3.49 ) in the period of the last 3 years, the Ulcer Ratio of 8 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -43.1 days of First Trust US Equity Opportunities ETF is lower, thus worse.
• Looking at maximum DrawDown in of -30.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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) in days.'

• Looking at the maximum days under water of 811 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 (488 days)
• Looking at maximum days below previous high in of 122 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 days).

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 below previous high of 290 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 (119 days)
• Looking at average days below previous high in of 33 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).