Description

ETFMG Alternative Harvest 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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of ETFMG Alternative Harvest ETF is -82.7%, which is lower, thus worse compared to the benchmark SPY (95.1%) in the same period.
  • Looking at total return, or performance in of -76.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.6%).

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.'

Which means for our asset as example:
  • The annual performance (CAGR) over 5 years of ETFMG Alternative Harvest ETF is -29.6%, which is smaller, thus worse compared to the benchmark SPY (14.3%) in the same period.
  • Compared with SPY (13.1%) in the period of the last 3 years, the annual performance (CAGR) of -38.3% is lower, thus worse.

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of ETFMG Alternative Harvest ETF is 53.6%, which is higher, thus worse compared to the benchmark SPY (21%) in the same period.
  • Compared with SPY (17.2%) in the period of the last 3 years, the historical 30 days volatility of 53.6% is greater, 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 deviation of 36.5% in the last 5 years of ETFMG Alternative Harvest ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15%)
  • During the last 3 years, the downside deviation is 36.2%, which is higher, thus worse than the value of 12% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the Sharpe Ratio of -0.6 of ETFMG Alternative Harvest ETF is smaller, thus worse.
  • Compared with SPY (0.62) in the period of the last 3 years, the Sharpe Ratio of -0.76 is lower, thus worse.

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of ETFMG Alternative Harvest ETF is -0.88, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
  • Looking at downside risk / excess return profile in of -1.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.89).

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.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of ETFMG Alternative Harvest ETF is 71 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
  • Looking at Downside risk index in of 61 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.59 ).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -92.6 days in the last 5 years of ETFMG Alternative Harvest ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum DrawDown in of -78.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1007 days of ETFMG Alternative Harvest ETF is larger, thus worse.
  • During the last 3 years, the maximum days below previous high is 724 days, which is larger, thus worse than the value of 325 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 429 days in the last 5 years of ETFMG Alternative Harvest ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (121 days)
  • Compared with SPY (89 days) in the period of the last 3 years, the average time in days below previous high water mark of 350 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of ETFMG Alternative Harvest ETF are hypothetical and do not account for slippage, fees or taxes.