'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.'

Which means for our asset as example:- Compared with the benchmark SPY (61.9%) in the period of the last 5 years, the total return, or increase in value of % of Esoterica NextG Economy ETF is lower, thus worse.
- Compared with SPY (79.4%) in the period of the last 3 years, the total return, or performance of % is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The annual return (CAGR) over 5 years of Esoterica NextG Economy ETF is %, which is smaller, thus worse compared to the benchmark SPY (10.1%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is %, which is lower, thus worse than the value of 21.5% from the benchmark.

'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.'

Which means for our asset as example:- The volatility over 5 years of Esoterica NextG Economy ETF is %, which is smaller, thus better compared to the benchmark SPY (21.5%) in the same period.
- During the last 3 years, the 30 days standard deviation is %, which is lower, thus better than the value of 21.2% from the benchmark.

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

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside risk of % of Esoterica NextG Economy ETF is lower, thus better.
- Compared with SPY (14.1%) in the period of the last 3 years, the downside risk of % is smaller, thus better.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:- The risk / return profile (Sharpe) over 5 years of Esoterica NextG Economy ETF is , which is smaller, thus worse compared to the benchmark SPY (0.36) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of annual return and downside deviation of in the last 5 years of Esoterica NextG Economy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
- Looking at excess return divided by the downside deviation in of in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.35).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.15 ) in the period of the last 5 years, the Ulcer Index of of Esoterica NextG Economy ETF is smaller, thus better.
- Looking at Ulcer Ratio in of in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.78 ).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of days of Esoterica NextG Economy ETF is smaller, thus worse.
- During the last 3 years, the maximum drop from peak to valley is days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of days in the last 5 years of Esoterica NextG Economy ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (305 days)
- Looking at maximum days below previous high in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (305 days).

'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.'

Which means for our asset as example:- The average days under water over 5 years of Esoterica NextG Economy ETF is days, which is lower, thus better compared to the benchmark SPY (65 days) in the same period.
- Looking at average time in days below previous high water mark in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (80 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Esoterica NextG Economy ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.