ETFMG Alternative Harvest ETF (MJ)

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.'

• Looking at the total return, or performance of -87.9% in the last 5 years of ETFMG Alternative Harvest ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (77.1%)
• Looking at total return in of -33.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (65.7%).

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.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the annual performance (CAGR) of -34.6% of ETFMG Alternative Harvest ETF is smaller, thus worse.
• Looking at annual performance (CAGR) in of -12.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (18.4%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of ETFMG Alternative Harvest ETF is 59.9%, which is higher, thus worse compared to the benchmark SPY (17.2%) in the same period.
• Looking at historical 30 days volatility in of 66.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.3%).

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 risk over 5 years of ETFMG Alternative Harvest ETF is 37.4%, which is larger, thus worse compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the downside risk is 39.4%, which is larger, thus worse than the value of 10.3% 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.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.62 of ETFMG Alternative Harvest ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.04).

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 (0.82) in the period of the last 5 years, the excess return divided by the downside deviation of -0.99 of ETFMG Alternative Harvest ETF is smaller, thus worse.
• Looking at excess return divided by the downside deviation in of -0.39 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.54).

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.'

• The Ulcer Index over 5 years of ETFMG Alternative Harvest ETF is 75 , which is greater, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• Compared with SPY (3.53 ) in the period of the last 3 years, the Ulcer Index of 42 is greater, thus worse.

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 -91.2 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 (-24.5 days)
• During the last 3 years, the maximum DrawDown is -69.7 days, which is lower, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1254 days of ETFMG Alternative Harvest ETF is greater, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 562 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.'

• The average days under water over 5 years of ETFMG Alternative Harvest ETF is 628 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 227 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).