First Trust Indxx Global Natural Resources (FTRI)

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.'

• Looking at the total return, or increase in value of 53.2% 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 (80.1%)
• Compared with SPY (30.8%) in the period of the last 3 years, the total return, or increase in value of 38.8% is greater, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 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 (12.5%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 11.6%, which is larger, thus better than the value of 9.4% 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.'

• Looking at the volatility of 26.3% 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 (21.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 23% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside volatility of 19% 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 (15.3%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 16.2% is larger, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the ratio of return and volatility (Sharpe) of 0.25 in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.47)
• Compared with SPY (0.39) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.39 is greater, thus better.

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.'

• Looking at the downside risk / excess return profile of 0.34 in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.66)
• During the last 3 years, the ratio of annual return and downside deviation is 0.56, which is larger, thus better than the value of 0.56 from the benchmark.

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.'

• The Downside risk index over 5 years of First Trust Indxx Global Natural Resources is 14 , which is higher, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 13 , which is greater, thus worse than the value of 10 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of First Trust Indxx Global Natural Resources is -43.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -27.5 days, which is lower, thus worse than the value of -24.5 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.'

• Compared with the benchmark SPY (478 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 406 days of First Trust Indxx Global Natural Resources is lower, thus better.
• Compared with SPY (478 days) in the period of the last 3 years, the maximum days below previous high of 406 days is smaller, thus better.

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 (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 121 days of First Trust Indxx Global Natural Resources is higher, thus worse.
• Compared with SPY (173 days) in the period of the last 3 years, the average days below previous high of 140 days is lower, thus better.