Description

The investment seeks investment results that correspond generally to the price and yield (before the fund's fees and expenses) of an equity index called the IPOX®-100 U.S. Index. The fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the index. The index seeks to measure the performance of the equity securities of the 100 largest and typically most liquid initial public offerings (IPOs) (including spin-offs and equity carve-outs) of U.S. companies. It is non-diversified.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 27.6% 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 (62.6%)
  • During the last 3 years, the total return is 7.3%, which is lower, thus worse than the value of 32.1% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 5% 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 (10.2%)
  • Compared with SPY (9.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.4% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 26.3% 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 (21.5%)
  • During the last 3 years, the volatility is 31%, which is larger, thus worse than the value of 24.8% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 19.6% 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 (15.6%)
  • During the last 3 years, the downside volatility is 23.1%, which is higher, thus worse than the value of 17.9% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.1 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 (0.36)
  • During the last 3 years, the risk / return profile (Sharpe) is 0, which is smaller, thus worse than the value of 0.29 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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of First Trust US Equity Opportunities ETF is 0.13, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
  • Compared with SPY (0.4) in the period of the last 3 years, the downside risk / excess return profile of -0.01 is lower, thus worse.

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:
  • Compared with the benchmark SPY (8.52 ) in the period of the last 5 years, the Downside risk index of 16 of First Trust US Equity Opportunities ETF is larger, thus worse.
  • During the last 3 years, the Ulcer Index is 20 , which is larger, thus worse than the value of 10 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -41.3 days of First Trust US Equity Opportunities ETF is smaller, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -41.3 days, which is smaller, thus worse than the value of -33.7 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) in days.'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of First Trust US Equity Opportunities ETF is 272 days, which is higher, thus worse compared to the benchmark SPY (235 days) in the same period.
  • Looking at maximum days under water in of 272 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (235 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 73 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 (55 days)
  • During the last 3 years, the average time in days below previous high water mark is 88 days, which is higher, thus worse than the value of 59 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.