'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- Looking at the total return, or increase in value of 65.1% in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (103.4%)
- During the last 3 years, the total return, or increase in value is 7.9%, which is smaller, thus worse than the value of 33.4% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 10.6% in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.3%)
- Looking at annual return (CAGR) in of 2.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 21.4% of Invesco S&P Global Water Index ETF is larger, thus worse.
- Looking at 30 days standard deviation in of 18.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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

Which means for our asset as example:- The downside risk over 5 years of Invesco S&P Global Water Index ETF is 15.2%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
- Looking at downside deviation in of 12.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

'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.'

Which means for our asset as example:- Looking at the Sharpe Ratio of 0.38 in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
- Compared with SPY (0.44) in the period of the last 3 years, the risk / return profile (Sharpe) of 0 is lower, thus worse.

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:- The downside risk / excess return profile over 5 years of Invesco S&P Global Water Index ETF is 0.53, which is smaller, thus worse compared to the benchmark SPY (0.85) in the same period.
- Looking at downside risk / excess return profile in of 0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.63).

'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.'

Which means for our asset as example:- The Ulcer Index over 5 years of Invesco S&P Global Water Index ETF is 14 , which is higher, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 16 is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -35.7 days in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -32.7 days is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 594 days in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum days below previous high is 594 days, which is larger, thus worse than the value of 488 days from the benchmark.

'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:- Looking at the average time in days below previous high water mark of 171 days in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
- During the last 3 years, the average days below previous high is 246 days, which is higher, thus worse than the value of 180 days from the benchmark.

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 Invesco S&P Global Water Index ETF are hypothetical and do not account for slippage, fees or taxes.