ALPS O'Shares Global Internet Giants ETF (OGIG)

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 -12.7% in the last 5 years of ALPS O'Shares Global Internet Giants ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (87.1%)
• During the last 3 years, the total return, or increase in value is 63.2%, which is smaller, thus worse than the value of 85.7% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of -2.7% in the last 5 years of ALPS O'Shares Global Internet Giants ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.4%)
• Compared with SPY (23%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 17.8% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 31.6% of ALPS O'Shares Global Internet Giants ETF is higher, thus worse.
• During the last 3 years, the volatility is 23.4%, which is larger, thus worse than the value of 15.1% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 22.4% of ALPS O'Shares Global Internet Giants ETF is larger, thus worse.
• During the last 3 years, the downside deviation is 16.6%, which is larger, thus worse than the value of 10.1% 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 risk / return profile (Sharpe) over 5 years of ALPS O'Shares Global Internet Giants ETF is -0.16, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.65, which is smaller, thus worse than the value of 1.36 from the benchmark.

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 -0.23 in the last 5 years of ALPS O'Shares Global Internet Giants ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.93)
• During the last 3 years, the excess return divided by the downside deviation is 0.92, which is lower, thus worse than the value of 2.04 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of ALPS O'Shares Global Internet Giants ETF is 35 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 10 , which is greater, thus worse than the value of 3.5 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -62.8 days of ALPS O'Shares Global Internet Giants ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -33.2 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 961 days of ALPS O'Shares Global Internet Giants ETF is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 133 days is larger, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 384 days of ALPS O'Shares Global Internet Giants ETF is greater, thus worse.
• Compared with SPY (20 days) in the period of the last 3 years, the average days below previous high of 34 days is larger, thus worse.