Invesco S&P Global Water Index ETF (CGW)

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.'

• Compared with the benchmark SPY (111.4%) in the period of the last 5 years, the total return, or increase in value of 70% of Invesco S&P Global Water Index ETF is smaller, thus worse.
• Looking at total return, or increase in value in of 40.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (66.9%).

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.'

• Compared with the benchmark SPY (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 11.2% of Invesco S&P Global Water Index ETF is lower, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the annual return (CAGR) of 12.2% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17.3%) in the period of the last 5 years, the 30 days standard deviation of 16.9% of Invesco S&P Global Water Index ETF is lower, thus better.
• Looking at historical 30 days volatility in of 16.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.9%).

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.'

• Looking at the downside volatility of 11.5% in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.9%)
• During the last 3 years, the downside risk is 11.2%, which is higher, thus worse than the value of 11.2% 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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.52 of Invesco S&P Global Water Index ETF is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.58, which is smaller, thus worse than the value of 0.96 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (1.15) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.76 of Invesco S&P Global Water Index ETF is smaller, thus worse.
• Compared with SPY (1.44) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.86 is smaller, thus worse.

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 Index over 5 years of Invesco S&P Global Water Index ETF is 13 , which is larger, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Looking at Ulcer Index in of 5.51 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.21 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley of -32.7 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 (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -16.2 days is greater, thus better.

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'

• Looking at the maximum time in days below previous high water mark 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)
• Looking at maximum days under water in of 155 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (97 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.'

• 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 169 days of Invesco S&P Global Water Index ETF is higher, thus worse.
• During the last 3 years, the average days below previous high is 39 days, which is higher, thus worse than the value of 27 days from the benchmark.