Description of Invesco MSCI Global Timber ETF

Invesco MSCI Global Timber ETF

Statistics of Invesco MSCI Global Timber ETF (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (66.9%) in the period of the last 5 years, the total return, or performance of 32.8% of Invesco MSCI Global Timber ETF is smaller, thus worse.
  • Compared with SPY (50.6%) in the period of the last 3 years, the total return of 27.9% is smaller, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual return (CAGR) of 5.8% of Invesco MSCI Global Timber ETF is lower, thus worse.
  • Looking at annual return (CAGR) in of 8.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the volatility of 16.2% of Invesco MSCI Global Timber ETF is greater, thus worse.
  • Looking at historical 30 days volatility in of 14.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.8%).

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside deviation of 17.4% of Invesco MSCI Global Timber ETF is greater, thus worse.
  • During the last 3 years, the downside risk is 15.9%, which is larger, thus worse than the value of 14.7% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Invesco MSCI Global Timber ETF is 0.21, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.95).

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Invesco MSCI Global Timber ETF is 0.19, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Compared with SPY (0.83) in the period of the last 3 years, the downside risk / excess return profile of 0.38 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Index of 12 of Invesco MSCI Global Timber ETF is greater, thus worse.
  • During the last 3 years, the Ulcer Index is 13 , which is higher, thus worse than the value of 4.1 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -30.3 days in the last 5 years of Invesco MSCI Global Timber ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -30.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days below previous high of 421 days in the last 5 years of Invesco MSCI Global Timber ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days under water in of 361 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of Invesco MSCI Global Timber ETF is 136 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Looking at average days under water in of 103 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

Performance of Invesco MSCI Global Timber ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Invesco MSCI Global Timber ETF
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Allocations

Returns of Invesco MSCI Global Timber ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Invesco MSCI Global Timber ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.