Invesco MSCI Global Timber ETF (CUT)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of Invesco MSCI Global Timber ETF is 12.4%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
• During the last 3 years, the total return, or increase in value is 28.3%, which is smaller, thus worse than the value of 33.5% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of Invesco MSCI Global Timber ETF is 2.4%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the annual performance (CAGR) of 8.7% is smaller, 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 (21.6%) in the period of the last 5 years, the historical 30 days volatility of 23.9% of Invesco MSCI Global Timber ETF is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 27.7%, which is higher, thus worse than the value of 25.1% 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.'

• The downside risk over 5 years of Invesco MSCI Global Timber ETF is 17.2%, which is larger, thus worse compared to the benchmark SPY (15.6%) in the same period.
• During the last 3 years, the downside volatility is 19.9%, which is higher, thus worse than the value of 18.1% 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.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the Sharpe Ratio of -0.01 of Invesco MSCI Global Timber ETF is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.22, which is lower, thus worse than the value of 0.3 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Invesco MSCI Global Timber ETF is -0.01, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
• Looking at downside risk / excess return profile in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.42).

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 (8.88 ) in the period of the last 5 years, the Downside risk index of 16 of Invesco MSCI Global Timber ETF is larger, thus worse.
• Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -45.8 days of Invesco MSCI Global Timber ETF is smaller, thus worse.
• Looking at maximum reduction from previous high in of -37.5 days in the period of the last 3 years, we see it is relatively smaller, 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). 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'

• Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days below previous high of 631 days of Invesco MSCI Global Timber ETF is greater, thus worse.
• Looking at maximum days below previous high in of 438 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (273 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 (57 days) in the period of the last 5 years, the average time in days below previous high water mark of 244 days of Invesco MSCI Global Timber ETF is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 155 days, which is larger, thus worse than the value of 73 days from the benchmark.