Description

First Trust Indxx Global Natural Resources Income ETF

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (62.7%) in the period of the last 5 years, the total return, or increase in value of 47.8% of First Trust Indxx Global Natural Resources is lower, thus worse.
  • Looking at total return, or increase in value in of 44.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (34.7%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 8.4% of First Trust Indxx Global Natural Resources is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 13.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (10.5%).

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of First Trust Indxx Global Natural Resources is 25.6%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • Looking at volatility in of 30.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (24.1%).

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of First Trust Indxx Global Natural Resources is 18.7%, which is larger, thus worse compared to the benchmark SPY (15.3%) in the same period.
  • During the last 3 years, the downside volatility is 22.2%, which is higher, thus worse than the value of 17.6% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 0.23 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 (0.37)
  • Looking at ratio of return and volatility (Sharpe) in of 0.35 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.33).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.51) in the period of the last 5 years, the downside risk / excess return profile of 0.32 of First Trust Indxx Global Natural Resources is smaller, thus worse.
  • Looking at downside risk / excess return profile in of 0.49 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.45).

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 (7.71 ) in the period of the last 5 years, the Ulcer Index of 12 of First Trust Indxx Global Natural Resources is higher, thus worse.
  • Compared with SPY (9.08 ) in the period of the last 3 years, the Ulcer Ratio of 15 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown 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)
  • Looking at maximum drop from peak to valley in of -43.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (189 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 238 days of First Trust Indxx Global Natural Resources is greater, thus worse.
  • During the last 3 years, the maximum days under water is 238 days, which is greater, thus worse than the value of 189 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 78 days in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively greater, thus worse in comparison to the benchmark SPY (46 days)
  • Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 75 days is greater, thus worse.

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 Indxx Global Natural Resources 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.