Description

First Trust Indxx NextG 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.'

Which means for our asset as example:
  • Looking at the total return, or increase in value of 56.7% 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 (88.1%)
  • During the last 3 years, the total return is 5.2%, which is smaller, thus worse than the value of 26.1% 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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of First Trust Indxx NextG ETF is 9.4%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 1.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.1%).

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 20.9% 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 (20.9%)
  • During the last 3 years, the historical 30 days volatility is 17.4%, which is greater, thus worse than the value of 17.3% 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.'

Which means for our asset as example:
  • Looking at the downside volatility of 14.8% in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
  • During the last 3 years, the downside volatility is 12%, which is smaller, thus better than the value of 12.1% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.33 of First Trust Indxx NextG ETF is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of -0.05 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.32).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.73) in the period of the last 5 years, the excess return divided by the downside deviation of 0.47 of First Trust Indxx NextG ETF is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of -0.07 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

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.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 12 in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
  • Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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.'

Applying this definition to our asset in some examples:
  • 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)
  • Looking at maximum drop from peak to valley in of -33.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 544 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 (488 days)
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 544 days is higher, 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 143 days in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
  • Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 209 days is greater, 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 First Trust Indxx NextG ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.