Description

The investment seeks to track the investment results (before fees and expenses) of the MSCI ACWI IMI Timber Select Capped Index (the underlying index). The fund generally will invest at least 90% of its total assets in the securities that comprise the underlying index, as well as American depositary receipts (ADRs) and global depositary receipts (GDRs) that represent securities in the underlying index. The underlying index is comprised of equity securities of companies that are primarily engaged in the ownership and management of forests and timberlands and the production of finished products that use timber as a raw material. The fund is non-diversified.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of Invesco MSCI Global Timber ETF is 82%, which is lower, thus worse compared to the benchmark SPY (120.7%) in the same period.
  • Looking at total return, or increase in value in of 13.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (44%).

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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 12.7% 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 (17.2%)
  • Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4.2% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of Invesco MSCI Global Timber ETF is 22.3%, which is greater, thus worse compared to the benchmark SPY (18.8%) in the same period.
  • Looking at 30 days standard deviation in of 25.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.8%).

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Invesco MSCI Global Timber ETF is 16.2%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • During the last 3 years, the downside risk is 18.9%, which is larger, thus worse than the value of 16.7% 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:
  • Looking at the Sharpe Ratio of 0.46 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 (0.78)
  • Looking at risk / return profile (Sharpe) in of 0.07 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.46).

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.'

Which means for our asset as example:
  • The downside risk / excess return profile over 5 years of Invesco MSCI Global Timber ETF is 0.63, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
  • Looking at downside risk / excess return profile in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

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:
  • The Ulcer Ratio over 5 years of Invesco MSCI Global Timber ETF is 14 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 18 , which is higher, thus worse than the value of 7.15 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 drop from peak to valley of -45.8 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 (-33.7 days)
  • Looking at maximum drop from peak to valley in of -45.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of Invesco MSCI Global Timber ETF is 631 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum days below previous high in of 631 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 179 days of Invesco MSCI Global Timber ETF is larger, thus worse.
  • During the last 3 years, the average days below previous high is 273 days, which is larger, thus worse than the value of 45 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
()

Allocations

Returns (%)

  • 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.