AdvisorShares Pure Cannabis ETF (YOLO)

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 of -78.9% in the last 5 years of AdvisorShares Pure Cannabis ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (115.1%)
• Compared with SPY (71.1%) in the period of the last 3 years, the total return of -61.6% is lower, thus worse.

CAGR:

'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.'

• Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the annual return (CAGR) of -26.8% of AdvisorShares Pure Cannabis ETF is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is -27.4%, which is lower, thus worse than the value of 19.7% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of AdvisorShares Pure Cannabis ETF is 46.3%, which is greater, thus worse compared to the benchmark SPY (17.5%) in the same period.
• Looking at volatility in of 48.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

DownVol:

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

• Looking at the downside risk of 31.1% in the last 5 years of AdvisorShares Pure Cannabis ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.1%)
• During the last 3 years, the downside volatility is 32.1%, which is greater, thus worse than the value of 11.5% from the benchmark.

Sharpe:

'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.'

• Looking at the Sharpe Ratio of -0.63 in the last 5 years of AdvisorShares Pure Cannabis ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.8)
• Compared with SPY (0.98) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.61 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.'

• Looking at the downside risk / excess return profile of -0.94 in the last 5 years of AdvisorShares Pure Cannabis ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.17)
• Looking at downside risk / excess return profile in of -0.93 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.49).

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.'

• Looking at the Ulcer Ratio of 74 in the last 5 years of AdvisorShares Pure Cannabis ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Index is 47 , which is greater, thus worse than the value of 5.31 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of AdvisorShares Pure Cannabis ETF is -94.7 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -74.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of AdvisorShares Pure Cannabis ETF is 1103 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 741 days, which is larger, thus worse than the value of 199 days from the benchmark.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 503 days of AdvisorShares Pure Cannabis ETF is larger, thus worse.
• Looking at average days under water in of 368 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).