Invesco MSCI Global Timber ETF (CUT)

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.'

• Looking at the total return, or increase in value of 86.4% 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 (154.3%)
• During the last 3 years, the total return, or increase in value is -4.3%, which is lower, thus worse than the value of 32.9% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Invesco MSCI Global Timber ETF is 13.3%, which is smaller, thus worse compared to the benchmark SPY (20.6%) in the same period.
• Looking at annual return (CAGR) in of -1.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (18.4%) in the period of the last 5 years, the volatility of 20.6% of Invesco MSCI Global Timber ETF is larger, thus worse.
• Looking at historical 30 days volatility in of 18.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17%).

DownVol:

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

• Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside volatility of 13.7% of Invesco MSCI Global Timber ETF is greater, thus worse.
• During the last 3 years, the downside volatility is 12.8%, which is larger, thus worse than the value of 12% from the benchmark.

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 Sharpe Ratio of 0.53 in the last 5 years of Invesco MSCI Global Timber ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.99)
• Looking at Sharpe Ratio in of -0.22 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.44).

Sortino:

'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.'

• The ratio of annual return and downside deviation over 5 years of Invesco MSCI Global Timber ETF is 0.79, which is lower, thus worse compared to the benchmark SPY (1.46) in the same period.
• Looking at ratio of annual return and downside deviation in of -0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.29 ) in the period of the last 5 years, the Ulcer Index of 14 of Invesco MSCI Global Timber ETF is higher, thus worse.
• Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.63 ).

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -31.2 days of Invesco MSCI Global Timber ETF is smaller, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum reduction from previous high of -25.6 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.'

• The maximum days under water over 5 years of Invesco MSCI Global Timber ETF is 969 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days under water of 594 days is greater, thus worse.

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.'

• Looking at the average days under water of 402 days in the last 5 years of Invesco MSCI Global Timber ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 247 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (89 days).