Invesco Frontier Markets ETF (FRN)

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.'

• The total return, or increase in value over 5 years of Invesco Frontier Markets ETF is 25.1%, which is smaller, thus worse compared to the benchmark SPY (67.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 27%, which is smaller, thus worse than the value of 61.5% from the benchmark.

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.'

• Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual performance (CAGR) of 4.6% of Invesco Frontier Markets ETF is smaller, thus worse.
• Looking at annual return (CAGR) in of 8.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (17.3%).

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.'

• Looking at the historical 30 days volatility of 13.6% in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.4%)
• Looking at historical 30 days volatility in of 13% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (20%).

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.'

• Looking at the downside deviation of 9.8% in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.4%)
• Looking at downside volatility in of 9.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13.9%).

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.'

• Looking at the Sharpe Ratio of 0.15 in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
• Looking at risk / return profile (Sharpe) in of 0.45 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.74).

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.'

• Looking at the excess return divided by the downside deviation of 0.21 in the last 5 years of Invesco Frontier Markets ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
• Looking at excess return divided by the downside deviation in of 0.63 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.06).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Index over 5 years of Invesco Frontier Markets ETF is 15 , which is greater, thus worse compared to the benchmark SPY (9.21 ) in the same period.
• Compared with SPY (9.87 ) in the period of the last 3 years, the Ulcer Index of 12 is higher, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -33.6 days of Invesco Frontier Markets ETF is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -26.6 days, which is smaller, thus worse than the value of -24.5 days from the benchmark.

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.'

• Compared with the benchmark SPY (311 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 524 days of Invesco Frontier Markets ETF is greater, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 469 days, which is larger, thus worse than the value of 311 days from the benchmark.

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 (66 days) in the period of the last 5 years, the average days under water of 209 days of Invesco Frontier Markets ETF is larger, thus worse.
• Compared with SPY (82 days) in the period of the last 3 years, the average days below previous high of 165 days is greater, thus worse.