Emles Trust Emles Luxury Goods ETF (LUXE)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (93.4%) in the period of the last 5 years, the total return, or performance of -73.2% of Emles Trust Emles Luxury Goods ETF is lower, thus worse.
• Compared with SPY (78%) in the period of the last 3 years, the total return, or increase in value of -26.8% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of Emles Trust Emles Luxury Goods ETF is -23.2%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
• During the last 3 years, the annual return (CAGR) is -10%, which is lower, thus worse than the value of 21.4% 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.'

• The volatility over 5 years of Emles Trust Emles Luxury Goods ETF is 71.3%, which is larger, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at historical 30 days volatility in of 77.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.2%).

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 deviation of 45% in the last 5 years of Emles Trust Emles Luxury Goods ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside volatility is 46%, which is greater, thus worse than the value of 10.2% 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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.36 in the last 5 years of Emles Trust Emles Luxury Goods ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.68)
• During the last 3 years, the Sharpe Ratio is -0.16, which is smaller, thus worse than the value of 1.24 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.'

• The ratio of annual return and downside deviation over 5 years of Emles Trust Emles Luxury Goods ETF is -0.57, which is lower, thus worse compared to the benchmark SPY (0.99) in the same period.
• Compared with SPY (1.85) in the period of the last 3 years, the excess return divided by the downside deviation of -0.27 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 (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 70 of Emles Trust Emles Luxury Goods ETF is greater, thus worse.
• Looking at Downside risk index in of 54 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.52 ).

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.'

• The maximum reduction from previous high over 5 years of Emles Trust Emles Luxury Goods ETF is -93.7 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -82.8 days, which is smaller, thus worse than the value of -18.8 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.'

• The maximum days under water over 5 years of Emles Trust Emles Luxury Goods ETF is 1238 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 510 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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 612 days in the last 5 years of Emles Trust Emles Luxury Goods ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 212 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).