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 performance of 45.5% 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 (57.1%)
• Looking at total return, or increase in value in of 17.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32%).

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 compounded annual growth rate (CAGR) over 5 years of First Trust Indxx NextG ETF is 7.9%, which is lower, thus worse compared to the benchmark SPY (9.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is 5.5%, which is lower, thus worse than the value of 9.7% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of 21.4% of First Trust Indxx NextG ETF is lower, thus better.
• Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 17.9% is higher, thus worse.

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.'

• The downside volatility over 5 years of First Trust Indxx NextG ETF is 15.2%, which is lower, thus better compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside risk is 12.3%, which is smaller, thus better than the value of 12.5% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of First Trust Indxx NextG ETF is 0.25, which is smaller, thus worse compared to the benchmark SPY (0.32) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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.'

• Looking at the downside risk / excess return profile of 0.35 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 (0.45)
• Compared with SPY (0.58) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.24 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer 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 (9.57 )
• During the last 3 years, the Ulcer Index is 14 , which is higher, thus worse than the value of 10 from the benchmark.

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.'

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

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 439 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 (439 days)
• Compared with SPY (439 days) in the period of the last 3 years, the maximum days below previous high of 439 days is higher, thus worse.

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.'

• Looking at the average days below previous high of 104 days 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 (106 days)
• Compared with SPY (149 days) in the period of the last 3 years, the average days below previous high of 146 days is lower, thus better.