Invesco S&P Global Water Index ETF (CGW)

TotalReturn:

'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.'

• The total return, or increase in value over 5 years of Invesco S&P Global Water Index ETF is 40.4%, which is smaller, thus worse compared to the benchmark SPY (57.1%) in the same period.
• Looking at total return, or increase in value in of 12.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (32%).

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.'

• The annual performance (CAGR) over 5 years of Invesco S&P Global Water Index ETF is 7%, which is lower, thus worse compared to the benchmark SPY (9.5%) in the same period.
• Compared with SPY (9.7%) in the period of the last 3 years, the annual return (CAGR) of 4.1% 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 (21.5%) in the period of the last 5 years, the historical 30 days volatility of 21.3% of Invesco S&P Global Water Index ETF is smaller, thus better.
• Compared with SPY (17.9%) in the period of the last 3 years, the 30 days standard deviation of 18.1% is larger, thus worse.

DownVol:

'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 risk of 15.2% in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
• Compared with SPY (12.5%) in the period of the last 3 years, the downside deviation of 12.4% is smaller, thus better.

Sharpe:

'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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.21 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 (0.32)
• Looking at Sharpe Ratio in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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 excess return divided by the downside deviation of 0.3 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 (0.45)
• Looking at excess return divided by the downside deviation in of 0.13 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.58).

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 Downside risk index over 5 years of Invesco S&P Global Water Index ETF is 13 , which is greater, thus worse compared to the benchmark SPY (9.57 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 15 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of Invesco S&P Global Water Index ETF is -35.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -32.7 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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.'

• Looking at the maximum days under water of 440 days in the last 5 years of Invesco S&P Global Water Index ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (439 days)
• Looking at maximum days under water in of 440 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (439 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.'

• Looking at the average days below previous high of 107 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 (106 days)
• Looking at average days below previous high in of 147 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (149 days).