Description

The investment seeks to track the investment results (before fees and expenses) of the S&P/BNY Mellon New Frontier Index (USD) (the underlying index). The fund generally will invest at least 90% of its total assets in the securities that comprise the underlying index. The underlying index is comprised of liquid American depositary receipts (ADRs) listed on a U.S. exchange, global depositary receipts (GDRs) traded on the London Stock Exchange, and ordinary share classes of equity securities listed on exchanges in Frontier Market countries that meet certain trading volume and free-float market capitalization criteria. The fund is non-diversified.

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • The total return over 5 years of Invesco Frontier Markets ETF is 25.1%, which is smaller, thus worse compared to the benchmark SPY (75.6%) in the same period.
  • During the last 3 years, the total return, or performance is 27%, which is lower, thus worse than the value of 40% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.6% of Invesco Frontier Markets ETF is smaller, thus worse.
  • Compared with SPY (11.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.3% 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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Invesco Frontier Markets ETF is 13.6%, which is lower, thus better compared to the benchmark SPY (20.3%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 13%, which is lower, thus better than the value of 23.6% from the benchmark.

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:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 9.8% of Invesco Frontier Markets ETF is smaller, thus better.
  • Compared with SPY (17.3%) in the period of the last 3 years, the downside deviation of 9.2% is lower, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.46) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.15 of Invesco Frontier Markets ETF is lower, thus worse.
  • Compared with SPY (0.4) in the period of the last 3 years, the Sharpe Ratio of 0.45 is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of Invesco Frontier Markets ETF is 0.21, which is smaller, thus worse compared to the benchmark SPY (0.63) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.63, which is greater, thus better than the value of 0.54 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of Invesco Frontier Markets ETF is 15 , which is greater, thus worse compared to the benchmark SPY (6.62 ) in the same period.
  • Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.55 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.6 days of Invesco Frontier Markets ETF is larger, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -26.6 days is greater, thus better.

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 under water of 524 days in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum days under water in of 469 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (120 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.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 209 days in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
  • Compared with SPY (31 days) in the period of the last 3 years, the average days under water of 165 days is higher, thus worse.

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 Frontier Markets 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.