Description of Invesco Frontier Markets ETF

Invesco Frontier Markets ETF

Statistics of Invesco Frontier Markets ETF (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Compared with the benchmark SPY (64.1%) in the period of the last 5 years, the total return, or increase in value of -8.2% of Invesco Frontier Markets ETF is lower, thus worse.
  • During the last 3 years, the total return, or performance is 28.8%, which is lower, thus worse than the value of 48.1% 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:
  • Looking at the compounded annual growth rate (CAGR) of -1.7% in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.4%)
  • Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.8% is lower, 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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of Invesco Frontier Markets ETF is 14.2%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 12.9% is greater, thus worse.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside risk of 15.3% of Invesco Frontier Markets ETF is greater, thus worse.
  • During the last 3 years, the downside risk is 14.2%, which is lower, thus better than the value of 14.5% 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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of Invesco Frontier Markets ETF is -0.3, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • Compared with SPY (0.9) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.49 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of -0.27 in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.53)
  • Looking at excess return divided by the downside deviation in of 0.45 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 21 in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (4.02 )
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Ratio of 11 is higher, 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -43 days in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -26.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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) in days.'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 824 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 (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 368 days is higher, thus worse.

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 (41 days) in the period of the last 5 years, the average days under water of 329 days of Invesco Frontier Markets ETF is greater, thus worse.
  • During the last 3 years, the average days below previous high is 108 days, which is greater, thus worse than the value of 35 days from the benchmark.

Performance of Invesco Frontier Markets ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Invesco Frontier Markets ETF
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Allocations

Returns of Invesco Frontier Markets ETF (%)

  • "Year" returns in the table above are not equal to 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.