First Trust Indxx NextG ETF (NXTG)

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.'

• Looking at the total return of 33.7% 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 (61.9%)
• Looking at total return, or increase in value in of 69.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (79.4%).

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.'

• Looking at the annual performance (CAGR) of 6.1% 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 (10.1%)
• During the last 3 years, the annual return (CAGR) is 19.3%, which is smaller, thus worse than the value of 21.5% from the benchmark.

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.'

• Looking at the volatility of 21.4% in the last 5 years of First Trust Indxx NextG ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the historical 30 days volatility is 20.7%, which is lower, thus better than the value of 21.2% 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 volatility over 5 years of First Trust Indxx NextG ETF is 15.3%, which is lower, thus better compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside volatility is 13.5%, which is lower, thus better than the value of 14.1% 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 (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.17 of First Trust Indxx NextG ETF is smaller, thus worse.
• Compared with SPY (0.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.81 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of First Trust Indxx NextG ETF is 0.23, which is smaller, thus worse compared to the benchmark SPY (0.49) in the same period.
• Compared with SPY (1.35) in the period of the last 3 years, the downside risk / excess return profile of 1.24 is smaller, 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 Ratio 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 (9.15 )
• Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (9.78 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of First Trust Indxx NextG ETF is -33.6 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -33.6 days is lower, thus worse.

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 time in days below previous high water mark of 388 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 (305 days)
• Looking at maximum time in days below previous high water mark in of 305 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (305 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 days under water over 5 years of First Trust Indxx NextG ETF is 116 days, which is larger, thus worse compared to the benchmark SPY (65 days) in the same period.
• Compared with SPY (80 days) in the period of the last 3 years, the average days under water of 77 days is lower, thus better.