Description

Esoterica NextG Economy ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return 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 (63%)
  • Looking at total return, or increase in value in of % in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (31.2%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual performance (CAGR) of % of Esoterica NextG Economy ETF is smaller, thus worse.
  • During the last 3 years, the annual performance (CAGR) is %, which is lower, thus worse than the value of 9.5% 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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of Esoterica NextG Economy ETF is %, which is smaller, thus better compared to the benchmark SPY (21.4%) in the same period.
  • Looking at volatility in of % in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (24.9%).

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.'

Which means for our asset as example:
  • Looking at the downside deviation of % in the last 5 years of Esoterica NextG Economy ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.6%)
  • During the last 3 years, the downside deviation is %, which is lower, thus better than the value of 18% 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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of in the last 5 years of Esoterica NextG Economy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
  • Compared with SPY (0.28) in the period of the last 3 years, the Sharpe Ratio of 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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of in the last 5 years of Esoterica NextG Economy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.5)
  • Compared with SPY (0.39) in the period of the last 3 years, the downside risk / excess return profile of is lower, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Ulcer Ratio of of Esoterica NextG Economy ETF is smaller, thus better.
  • Looking at Ulcer Index in of in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of days in the last 5 years of Esoterica NextG Economy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of days is smaller, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (233 days) in the period of the last 5 years, the maximum days below previous high of days of Esoterica NextG Economy ETF is smaller, thus better.
  • 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 (233 days).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (54 days) in the period of the last 5 years, the average days below previous high of days of Esoterica NextG Economy ETF is lower, thus better.
  • During the last 3 years, the average days under water is days, which is smaller, thus better than the value of 59 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.