Description of Invesco Ultra Short Duration ETF

Invesco Ultra Short Duration ETF

Statistics of Invesco Ultra Short Duration ETF (YTD)

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 8.6% in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.3%)
  • Looking at total return in of 6.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.1%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 1.7% of Invesco Ultra Short Duration ETF is lower, thus worse.
  • Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.2% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 0.5% of Invesco Ultra Short Duration ETF is lower, thus better.
  • Compared with SPY (12.4%) in the period of the last 3 years, the 30 days standard deviation of 0.4% is lower, thus better.

DownVol:

'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:
  • Looking at the downside risk of 0.7% 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 (14.6%)
  • During the last 3 years, the downside deviation is 0.6%, which is lower, thus better than the value of 14% 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 ratio of return and volatility (Sharpe) over 5 years of Invesco Ultra Short Duration ETF is -1.61, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at Sharpe Ratio in of -0.71 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of Invesco Ultra Short Duration ETF is -1.21, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.49, which is lower, thus worse than the value of 0.79 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of Invesco Ultra Short Duration ETF is 0.06 , which is lower, thus worse compared to the benchmark SPY (3.95 ) in the same period.
  • Compared with SPY (4 ) in the period of the last 3 years, the Downside risk index of 0.02 is smaller, 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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Invesco Ultra Short Duration ETF is -0.4 days, which is larger, thus better compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -0.1 days is larger, thus better.

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:
  • The maximum time in days below previous high water mark over 5 years of Invesco Ultra Short Duration ETF is 47 days, which is smaller, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 15 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (131 days).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days below previous high of 7 days of Invesco Ultra Short Duration ETF is lower, thus better.
  • Compared with SPY (33 days) in the period of the last 3 years, the average days under water of 3 days is lower, thus better.

Performance of Invesco Ultra Short Duration ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Invesco Ultra Short Duration ETF
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Allocations

Returns of Invesco Ultra Short Duration ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Invesco Ultra Short Duration 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.