Description of Invesco MSCI Global Timber ETF

Invesco MSCI Global Timber ETF

Statistics of Invesco MSCI Global Timber ETF (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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of Invesco MSCI Global Timber ETF is 18.3%, which is lower, thus worse compared to the benchmark SPY (64.1%) in the same period.
  • Looking at total return, or performance in of 12.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (48.1%).

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Invesco MSCI Global Timber ETF is 3.4%, which is lower, thus worse compared to the benchmark SPY (10.4%) in the same period.
  • Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4.1% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 16.3% of Invesco MSCI Global Timber ETF is greater, thus worse.
  • Looking at 30 days standard deviation in of 14.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 17.4% 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 (14.9%)
  • Compared with SPY (14.5%) in the period of the last 3 years, the downside deviation of 15.6% is higher, thus worse.

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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of Invesco MSCI Global Timber ETF is 0.06, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.11, which is smaller, thus worse than the value of 0.9 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.53) in the period of the last 5 years, the downside risk / excess return profile of 0.05 of Invesco MSCI Global Timber ETF is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.79).

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:
  • Looking at the Downside risk index of 12 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 (4.02 )
  • During the last 3 years, the Ulcer Index is 12 , which is higher, thus worse than the value of 4.09 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 DrawDown of -30.3 days 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 (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -30.3 days is smaller, thus worse.

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.'

Which means for our asset as example:
  • 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 greater, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 325 days, which is greater, thus worse than the value of 139 days from the benchmark.

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:
  • Looking at the average days under water of 126 days 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 (41 days)
  • During the last 3 years, the average days under water is 85 days, which is greater, thus worse than the value of 35 days from the benchmark.

Performance of Invesco MSCI Global Timber ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Invesco MSCI Global Timber ETF
()

Allocations

Returns of Invesco MSCI Global Timber ETF (%)

  • "Year" returns in the table above are not equal to 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.