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.'

• The total return over 5 years of First Trust Indxx NextG ETF is 44.1%, which is lower, thus worse compared to the benchmark SPY (81.5%) in the same period.
• Looking at total return, or performance in of 40% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of First Trust Indxx NextG ETF is 7.8%, which is lower, thus worse compared to the benchmark SPY (12.7%) in the same period.
• Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.9% is lower, thus worse.

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 (20.5%) in the period of the last 5 years, the historical 30 days volatility of 20.6% of First Trust Indxx NextG ETF is higher, thus worse.
• Looking at 30 days standard deviation in of 23.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (23.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of First Trust Indxx NextG ETF is 14.9%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the downside deviation of 16.6% is smaller, thus better.

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.'

• Looking at the Sharpe Ratio of 0.26 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 (0.5)
• Compared with SPY (0.48) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.41 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 excess return divided by the downside deviation over 5 years of First Trust Indxx NextG ETF is 0.35, which is lower, thus worse compared to the benchmark SPY (0.68) in the same period.
• Looking at downside risk / excess return profile in of 0.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.66).

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 (7.13 ) in the period of the last 5 years, the Ulcer Index of 9.38 of First Trust Indxx NextG ETF is greater, thus worse.
• Compared with SPY (8.25 ) in the period of the last 3 years, the Ulcer Ratio of 8.33 is higher, thus worse.

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 reduction from previous high over 5 years of First Trust Indxx NextG ETF is -29.9 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -29.9 days is larger, thus better.

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 (150 days) in the period of the last 5 years, the maximum days under water of 461 days of First Trust Indxx NextG ETF is greater, thus worse.
• Compared with SPY (150 days) in the period of the last 3 years, the maximum days below previous high of 150 days is greater, 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 First Trust Indxx NextG ETF is 115 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
• During the last 3 years, the average days under water is 34 days, which is lower, thus better than the value of 36 days from the benchmark.