First Trust Indxx Global Natural Resources (FTRI)

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.'

• Looking at the total return, or performance of 30% 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 (68.1%)
• Compared with SPY (47%) in the period of the last 3 years, the total return, or increase in value of 59% is higher, 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.'

• Compared with the benchmark SPY (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.5% of First Trust Indxx Global Natural Resources is lower, thus worse.
• Looking at annual return (CAGR) in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.7%).

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.'

• 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 (21.4%)
• During the last 3 years, the 30 days standard deviation is 24.4%, which is greater, thus worse than the value of 18.7% 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 deviation over 5 years of First Trust Indxx Global Natural Resources is 19.1%, which is larger, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside deviation of 17.2% 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.'

• Compared with the benchmark SPY (0.4) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.12 of First Trust Indxx Global Natural Resources is lower, thus worse.
• Compared with SPY (0.6) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.58 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the excess return divided by the downside deviation of 0.16 of First Trust Indxx Global Natural Resources is lower, thus worse.
• Compared with SPY (0.84) in the period of the last 3 years, the downside risk / excess return profile of 0.83 is lower, thus worse.

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.'

• Compared with the benchmark SPY (9.45 ) in the period of the last 5 years, the Downside risk index of 13 of First Trust Indxx Global Natural Resources is higher, thus worse.
• During the last 3 years, the Ulcer Ratio is 11 , which is higher, thus worse than the value of 10 from the benchmark.

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 (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -43.9 days of First Trust Indxx Global Natural Resources is smaller, thus worse.
• Looking at maximum reduction from previous high in of -27.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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 279 days in the last 5 years of First Trust Indxx Global Natural Resources, we see it is relatively smaller, thus better in comparison to the benchmark SPY (351 days)
• During the last 3 years, the maximum time in days below previous high water mark is 279 days, which is lower, thus better than the value of 351 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.'

• The average time in days below previous high water mark over 5 years of First Trust Indxx Global Natural Resources is 98 days, which is greater, thus worse compared to the benchmark SPY (78 days) in the same period.
• Compared with SPY (101 days) in the period of the last 3 years, the average time in days below previous high water mark of 84 days is lower, thus better.