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.'

• Compared with the benchmark SPY (62.7%) in the period of the last 5 years, the total return, or performance of 37.5% of Invesco S&P Global Water Index ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is 22.1%, which is smaller, thus worse than the value of 34.7% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Invesco S&P Global Water Index ETF is 6.6%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the annual performance (CAGR) of 6.9% is lower, thus worse.

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 volatility over 5 years of Invesco S&P Global Water Index ETF is 20.2%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the 30 days standard deviation is 24.2%, which is larger, thus worse than the value of 24.1% from the benchmark.

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.'

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside risk of 14.7% of Invesco S&P Global Water Index ETF is lower, thus better.
• During the last 3 years, the downside risk is 17.5%, which is lower, thus better than the value of 17.6% 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 (0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.2 of Invesco S&P Global Water Index ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.33).

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.'

• Looking at the ratio of annual return and downside deviation of 0.28 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 (0.51)
• Compared with SPY (0.45) in the period of the last 3 years, the excess return divided by the downside deviation of 0.25 is lower, 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.'

• Looking at the Ulcer Index of 10 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 (7.71 )
• Compared with SPY (9.08 ) in the period of the last 3 years, the Downside risk index of 13 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -35.7 days of Invesco S&P Global Water Index ETF is smaller, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -35.7 days is lower, 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.'

• Looking at the maximum days under water of 284 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 (189 days)
• Looking at maximum days below previous high in of 190 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (189 days).

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.'

• The average days under water over 5 years of Invesco S&P Global Water Index ETF is 70 days, which is higher, thus worse compared to the benchmark SPY (46 days) in the same period.
• Looking at average days below previous high in of 54 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).