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.'

• Compared with the benchmark SPY (105.5%) in the period of the last 5 years, the total return, or performance of 103.4% of First Trust Indxx Global Natural Resources is lower, thus worse.
• Compared with SPY (84%) in the period of the last 3 years, the total return of 29.4% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the annual performance (CAGR) of 15.3% of First Trust Indxx Global Natural Resources is lower, thus worse.
• Looking at annual return (CAGR) in of 9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.6%).

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 30 days standard deviation of 21.3% 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 (17.1%)
• Compared with SPY (16%) in the period of the last 3 years, the historical 30 days volatility of 18.1% is larger, thus worse.

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 14.8%, which is larger, thus worse compared to the benchmark SPY (11.7%) in the same period.
• During the last 3 years, the downside deviation is 12.7%, which is larger, thus worse than the value of 10.5% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of First Trust Indxx Global Natural Resources is 0.6, which is smaller, thus worse compared to the benchmark SPY (0.76) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.26).

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 ratio of annual return and downside deviation of 0.86 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 (1.11)
• During the last 3 years, the ratio of annual return and downside deviation is 0.51, which is lower, thus worse than the value of 1.93 from the benchmark.

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 (8.41 ) in the period of the last 5 years, the Downside risk index of 12 of First Trust Indxx Global Natural Resources is higher, thus worse.
• During the last 3 years, the Ulcer Index is 7.81 , which is higher, thus worse than the value of 3.61 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.5 days of First Trust Indxx Global Natural Resources is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -19.7 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 below previous high of 791 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 (488 days)
• Looking at maximum time in days below previous high water mark in of 323 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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.'

• The average days below previous high over 5 years of First Trust Indxx Global Natural Resources is 279 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 98 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).