Description

Invesco Frontier Markets ETF

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (88%) in the period of the last 5 years, the total return, or performance of 25.1% of Invesco Frontier Markets ETF is smaller, thus worse.
  • Compared with SPY (39.5%) in the period of the last 3 years, the total return, or performance of 26.6% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 4.6% in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.5%)
  • Compared with SPY (11.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.2% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 13.6% in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (18.8%)
  • Compared with SPY (22.3%) in the period of the last 3 years, the historical 30 days volatility of 13% is lower, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside risk of 9.8% of Invesco Frontier Markets ETF is lower, thus better.
  • During the last 3 years, the downside volatility is 9.2%, which is lower, thus better than the value of 16.5% from the benchmark.

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:
  • The risk / return profile (Sharpe) over 5 years of Invesco Frontier Markets ETF is 0.15, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
  • Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.44 is higher, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the excess return divided by the downside deviation of 0.21 of Invesco Frontier Markets ETF is lower, thus worse.
  • Compared with SPY (0.56) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.62 is higher, thus better.

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:
  • Compared with the benchmark SPY (5.79 ) in the period of the last 5 years, the Ulcer Ratio of 15 of Invesco Frontier Markets ETF is larger, thus worse.
  • Compared with SPY (7.08 ) in the period of the last 3 years, the Ulcer Index of 12 is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -33.6 days in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -26.6 days is larger, 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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of Invesco Frontier Markets ETF is 524 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum days below previous high in of 469 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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:
  • Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days under water of 209 days of Invesco Frontier Markets ETF is greater, thus worse.
  • During the last 3 years, the average days under water is 164 days, which is larger, thus worse than the value of 45 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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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.