First Trust Indxx NextG ETF (NXTG)

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 increase in value of 31.4% in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.7%)
• Looking at total return, or performance in of 27.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (37%).

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.'

• The annual performance (CAGR) over 5 years of First Trust Indxx NextG ETF is 5.7%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual return (CAGR) in of 8.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.1%).

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 First Trust Indxx NextG ETF is 21.4%, which is greater, thus worse compared to the benchmark SPY (21.4%) in the same period.
• During the last 3 years, the volatility is 24.1%, which is lower, thus better than the value of 24.8% 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.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside volatility of 15.3% of First Trust Indxx NextG ETF is smaller, thus better.
• Compared with SPY (17.9%) in the period of the last 3 years, the downside deviation of 17.2% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.15 of First Trust Indxx NextG ETF is lower, thus worse.
• Compared with SPY (0.34) in the period of the last 3 years, the Sharpe Ratio of 0.24 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of First Trust Indxx NextG ETF is 0.21, which is lower, thus worse compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (0.48) in the period of the last 3 years, the downside risk / excess return profile of 0.34 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.47 ) in the period of the last 5 years, the Ulcer Index of 12 of First Trust Indxx NextG ETF is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 12 , 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.'

• Looking at the maximum DrawDown of -33.6 days in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -33.6 days, which is larger, thus better than the value of -33.7 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.'

• Looking at the maximum days under water of 461 days in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (231 days)
• Compared with SPY (231 days) in the period of the last 3 years, the maximum days under water of 231 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.'

• Looking at the average days below previous high of 126 days in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (54 days)
• Looking at average time in days below previous high water mark in of 55 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (58 days).