Description

Wedbush ETFMG Video Game Tech 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 (129.1%) in the period of the last 5 years, the total return, or performance of 187.8% of Wedbush ETFMG Video Game Tech ETF is higher, thus better.
  • Compared with SPY (71.3%) in the period of the last 3 years, the total return of 108.9% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 23.7% in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (18.1%)
  • Looking at annual return (CAGR) in of 27.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.7%).

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 24.2% in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
  • Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 28.5% is higher, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside risk of 16.6% in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
  • Looking at downside deviation in of 19.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.87 in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.83)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.89, which is higher, thus better than the value of 0.76 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 1.28 in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.15)
  • Compared with SPY (1.05) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.31 is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 13 of Wedbush ETFMG Video Game Tech ETF is higher, thus worse.
  • Looking at Ulcer Index in of 9.83 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.38 ).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -31 days of Wedbush ETFMG Video Game Tech ETF is greater, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -25.7 days is larger, thus better.

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:
  • The maximum time in days below previous high water mark over 5 years of Wedbush ETFMG Video Game Tech ETF is 499 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 182 days is larger, thus worse.

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:
  • Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days below previous high of 134 days of Wedbush ETFMG Video Game Tech ETF is higher, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 61 days, which is larger, thus worse than the value of 25 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Wedbush ETFMG Video Game Tech ETF 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.