Invesco MSCI Global Timber ETF (CUT)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or increase in value over 5 years of Invesco MSCI Global Timber ETF is 53.1%, which is lower, thus worse compared to the benchmark SPY (109.3%) in the same period.
• During the last 3 years, the total return, or performance is -8.6%, which is smaller, thus worse than the value of 34.3% 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 8.9%, which is lower, thus worse compared to the benchmark SPY (16%) in the same period.
• During the last 3 years, the annual return (CAGR) is -3%, which is lower, thus worse than the value of 10.4% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Invesco MSCI Global Timber ETF is 19.4%, which is higher, thus worse compared to the benchmark SPY (18%) in the same period.
• During the last 3 years, the historical 30 days volatility is 18.8%, which is greater, thus worse than the value of 18.8% 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.'

• Looking at the downside volatility of 13.3% in the last 5 years of Invesco MSCI Global Timber ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.5%)
• During the last 3 years, the downside risk is 13.2%, which is higher, thus worse than the value of 13% 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.'

• Looking at the Sharpe Ratio of 0.33 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 (0.75)
• Compared with SPY (0.42) in the period of the last 3 years, the Sharpe Ratio of -0.29 is smaller, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.48 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 (1.07)
• Compared with SPY (0.6) in the period of the last 3 years, the downside risk / excess return profile of -0.41 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of Invesco MSCI Global Timber ETF is 14 , which is greater, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (5.75 ) in the period of the last 3 years, the Ulcer Index of 12 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 (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -31.2 days of Invesco MSCI Global Timber ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum time in days below previous high water mark over 5 years of Invesco MSCI Global Timber ETF is 995 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 594 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days below previous high of 421 days of Invesco MSCI Global Timber ETF is larger, thus worse.
• Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 251 days is greater, thus worse.