Invesco Frontier Markets ETF (FRN)

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.'

• Looking at the total return, or increase in value of 25.1% in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (57.1%)
• Compared with SPY (32%) in the period of the last 3 years, the total return of 27% is lower, 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.'

• 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 (9.5%)
• Compared with SPY (9.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.3% 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.'

• 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 (21.5%) in the same period.
• Looking at historical 30 days volatility in of 13% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.9%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Invesco Frontier Markets ETF is 9.8%, which is smaller, thus better compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 9.2% is lower, thus better.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Invesco Frontier Markets ETF is 0.15, which is lower, thus worse compared to the benchmark SPY (0.32) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.45 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.41).

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.'

• Compared with the benchmark SPY (0.45) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.21 of Invesco Frontier Markets ETF is lower, thus worse.
• Compared with SPY (0.58) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.63 is greater, thus better.

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.'

• The Downside risk index over 5 years of Invesco Frontier Markets ETF is 15 , which is larger, thus worse compared to the benchmark SPY (9.57 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 12 , which is greater, thus worse than the value of 10 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -33.6 days in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -26.6 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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) in days.'

• The maximum days under water over 5 years of Invesco Frontier Markets ETF is 524 days, which is larger, thus worse compared to the benchmark SPY (439 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 469 days, which is higher, thus worse than the value of 439 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.'

• Compared with the benchmark SPY (106 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 time in days below previous high water mark is 165 days, which is larger, thus worse than the value of 149 days from the benchmark.