First Trust Indxx Global Natural Resources (FTRI)

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.'

• Compared with the benchmark SPY (122.7%) in the period of the last 5 years, the total return, or performance of 77.6% of First Trust Indxx Global Natural Resources is lower, thus worse.
• Compared with SPY (65.3%) in the period of the last 3 years, the total return of 36.9% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 12.9% in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.4%)
• During the last 3 years, the annual return (CAGR) is 11.4%, which is lower, thus worse than the value of 18.2% 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.'

• The volatility over 5 years of First Trust Indxx Global Natural Resources is 23.5%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at historical 30 days volatility in of 27.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

DownVol:

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

• The downside volatility over 5 years of First Trust Indxx Global Natural Resources is 17%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the downside volatility is 20.3%, which is larger, thus worse than the value of 16.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of First Trust Indxx Global Natural Resources is 0.44, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.32, which is smaller, thus worse than the value of 0.7 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.'

• The downside risk / excess return profile over 5 years of First Trust Indxx Global Natural Resources is 0.61, which is smaller, thus worse compared to the benchmark SPY (1.1) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.44 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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.'

• Looking at the Downside risk index of 11 in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.58 )
• Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 13 is greater, 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.'

• Looking at the maximum reduction from previous high of -43.9 days in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -43.9 days is lower, thus worse.

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 under water of 238 days in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum days under water in of 238 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

• Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average time in days below previous high water mark of 69 days of First Trust Indxx Global Natural Resources is greater, thus worse.
• Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 74 days is greater, thus worse.