First Trust Indxx NextG ETF (NXTG)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 81.2% in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (105.2%)
• During the last 3 years, the total return, or increase in value is 52.8%, which is lower, thus worse than the value of 58% 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 First Trust Indxx NextG ETF is 12.7%, which is lower, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Looking at annual return (CAGR) in of 15.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (16.6%).

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 17.4% of First Trust Indxx NextG ETF is lower, thus better.
• Looking at 30 days standard deviation in of 17.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.2%).

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 (12.1%) in the period of the last 5 years, the downside deviation of 11.9% of First Trust Indxx NextG ETF is lower, thus better.
• Compared with SPY (11.5%) in the period of the last 3 years, the downside volatility of 11.5% is higher, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of 0.58 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 (0.74)
• During the last 3 years, the Sharpe Ratio is 0.74, which is lower, thus worse than the value of 0.82 from the benchmark.

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.'

• Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of 0.86 of First Trust Indxx NextG ETF is lower, thus worse.
• Compared with SPY (1.22) in the period of the last 3 years, the downside risk / excess return profile of 1.11 is lower, thus worse.

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.'

• Looking at the Ulcer Index of 11 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 (8.48 )
• Looking at Ulcer Ratio in of 5.67 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (5.31 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• 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 lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -20.4 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). 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 544 days of First Trust Indxx NextG ETF is greater, thus worse.
• Looking at maximum days under water in of 117 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (199 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 time in days below previous high water mark over 5 years of First Trust Indxx NextG ETF is 141 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average time in days below previous high water mark in of 32 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (47 days).