Invesco Ultra Short Duration ETF (GSY)

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 Ultra Short Duration ETF is 20.7%, which is lower, thus worse compared to the benchmark SPY (81.9%) in the same period.
• Looking at total return, or performance in of 16.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (77.2%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Invesco Ultra Short Duration ETF is 3.8%, which is lower, thus worse compared to the benchmark SPY (12.8%) in the same period.
• Looking at annual return (CAGR) in of 5.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.1%).

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.'

• Looking at the historical 30 days volatility of 0.6% in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.2%)
• During the last 3 years, the volatility is 0.5%, which is smaller, thus better than the value of 15.3% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 0.3% of Invesco Ultra Short Duration ETF is lower, thus better.
• Looking at downside volatility in of 0.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.3%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The Sharpe Ratio over 5 years of Invesco Ultra Short Duration ETF is 2.3, which is greater, thus better compared to the benchmark SPY (0.6) in the same period.
• Compared with SPY (1.21) in the period of the last 3 years, the Sharpe Ratio of 5.48 is larger, thus better.

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 downside risk / excess return profile of 4.46 in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.87)
• During the last 3 years, the ratio of annual return and downside deviation is 14, which is larger, thus better than the value of 1.81 from the benchmark.

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.'

• Looking at the Downside risk index of 0.46 in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.46 )
• Looking at Downside risk index in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.37 ).

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.'

• The maximum reduction from previous high over 5 years of Invesco Ultra Short Duration ETF is -1.5 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -0.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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.'

• Looking at the maximum days below previous high of 319 days in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 10 days is lower, thus better.

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.'

• Looking at the average time in days below previous high water mark of 88 days in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (118 days)
• Compared with SPY (18 days) in the period of the last 3 years, the average days under water of 2 days is lower, thus better.