Wedbush ETFMG Video Game Tech ETF (GAMR)

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 (100.1%) in the period of the last 5 years, the total return of 28.4% of Wedbush ETFMG Video Game Tech ETF is lower, thus worse.
• Compared with SPY (75.1%) in the period of the last 3 years, the total return of 62.1% is lower, thus worse.

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 5.2% in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.9%)
• Looking at compounded annual growth rate (CAGR) in of 17.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.7%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 27% of Wedbush ETFMG Video Game Tech ETF is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 22.5%, which is greater, thus worse than the value of 15.6% 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.'

• Looking at the downside risk of 18.2% 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 (11.8%)
• Compared with SPY (10.4%) in the period of the last 3 years, the downside volatility of 15.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Wedbush ETFMG Video Game Tech ETF is 0.1, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.67, which is smaller, thus worse than the value of 1.17 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the excess return divided by the downside deviation of 0.15 in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.06)
• Compared with SPY (1.74) in the period of the last 3 years, the downside risk / excess return profile of 0.98 is lower, thus worse.

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.'

• Looking at the Ulcer Ratio of 36 in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.42 )
• Looking at Ulcer Index in of 7.29 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.62 ).

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.'

• Looking at the maximum drop from peak to valley of -54.2 days in the last 5 years of Wedbush ETFMG Video Game Tech ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -22.3 days is lower, thus worse.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of Wedbush ETFMG Video Game Tech ETF is 1219 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 210 days is higher, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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.'

• Looking at the average days under water of 601 days 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 (120 days)
• Looking at average days under water in of 51 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).