ETFMG Alternative Harvest ETF (MJ)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or performance over 5 years of ETFMG Alternative Harvest ETF is -88.6%, which is lower, thus worse compared to the benchmark SPY (60.2%) in the same period.
• During the last 3 years, the total return is -63.2%, which is smaller, thus worse than the value of 36.3% from the benchmark.

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 ETFMG Alternative Harvest ETF is -35.2%, which is lower, thus worse compared to the benchmark SPY (9.9%) in the same period.
• Compared with SPY (10.9%) in the period of the last 3 years, the annual return (CAGR) of -28.4% 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.'

• The historical 30 days volatility over 5 years of ETFMG Alternative Harvest ETF is 50%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
• During the last 3 years, the historical 30 days volatility is 53%, which is greater, thus worse than the value of 17.9% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 ETFMG Alternative Harvest ETF is 34.7%, which is higher, thus worse compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside deviation is 35.6%, which is greater, thus worse than the value of 12.5% 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 ETFMG Alternative Harvest ETF is -0.75, which is lower, thus worse compared to the benchmark SPY (0.34) in the same period.
• Looking at Sharpe Ratio in of -0.58 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.47).

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.'

• Compared with the benchmark SPY (0.48) in the period of the last 5 years, the downside risk / excess return profile of -1.09 of ETFMG Alternative Harvest ETF is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of -0.87 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.67).

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 (9.55 ) in the period of the last 5 years, the Ulcer Ratio of 65 of ETFMG Alternative Harvest ETF is higher, thus worse.
• During the last 3 years, the Downside risk index is 68 , which is larger, thus worse than the value of 10 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of ETFMG Alternative Harvest ETF is -92 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -90.9 days, which is lower, thus worse than the value of -24.5 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). 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 1242 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 (432 days)
• Compared with SPY (432 days) in the period of the last 3 years, the maximum days under water of 658 days is greater, 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.'

• Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average days under water of 615 days of ETFMG Alternative Harvest ETF is higher, thus worse.
• Compared with SPY (145 days) in the period of the last 3 years, the average time in days below previous high water mark of 297 days is higher, thus worse.