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.'

• Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or performance of -3.6% of Invesco MSCI Global Timber ETF is lower, thus worse.
• Compared with SPY (44.5%) in the period of the last 3 years, the total return, or increase in value of 26.7% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -0.7% of Invesco MSCI Global Timber ETF is lower, thus worse.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of 8.2% is lower, thus worse.

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 23.9% of Invesco MSCI Global Timber ETF is larger, thus worse.
• During the last 3 years, the historical 30 days volatility is 20.4%, which is higher, thus worse than the value of 18.8% from the benchmark.

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 (15.4%) in the period of the last 5 years, the downside deviation of 17.3% of Invesco MSCI Global Timber ETF is higher, thus worse.
• Looking at downside risk in of 14.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13.3%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.14 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 (0.39)
• Looking at risk / return profile (Sharpe) in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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 -0.19, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.4, which is lower, thus worse than the value of 0.79 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (9.46 ) in the period of the last 5 years, the Ulcer Ratio of 17 of Invesco MSCI Global Timber ETF is higher, thus worse.
• During the last 3 years, the Downside risk index is 14 , which is higher, thus worse than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of Invesco MSCI Global Timber ETF is -45.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -31.2 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.'

• The maximum days under water over 5 years of Invesco MSCI Global Timber ETF is 631 days, which is larger, thus worse compared to the benchmark SPY (352 days) in the same period.
• Looking at maximum days under water in of 517 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (352 days).

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.'

• Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average days below previous high of 273 days of Invesco MSCI Global Timber ETF is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 198 days, which is higher, thus worse than the value of 102 days from the benchmark.