Description

Invesco Ultra Short Duration ETF

Statistics (YTD)

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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 10.6% in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (67.9%)
  • Looking at total return, or increase in value in of 7.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (38.6%).

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.'

Which means for our asset as example:
  • The annual performance (CAGR) over 5 years of Invesco Ultra Short Duration ETF is 2%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • Compared with SPY (11.5%) in the period of the last 3 years, the annual return (CAGR) of 2.4% is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 1.6% 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 (18.7%)
  • During the last 3 years, the volatility is 2.1%, which is smaller, thus better than the value of 21.5% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside deviation of 1.4% in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.6%)
  • Compared with SPY (15.7%) in the period of the last 3 years, the downside risk of 1.8% 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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of Invesco Ultra Short Duration ETF is -0.28, which is lower, thus worse compared to the benchmark SPY (0.45) in the same period.
  • Compared with SPY (0.42) in the period of the last 3 years, the Sharpe Ratio of -0.03 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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Invesco Ultra Short Duration ETF is -0.33, which is smaller, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Compared with SPY (0.57) in the period of the last 3 years, the downside risk / excess return profile of -0.04 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 0.38 in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (5.82 )
  • During the last 3 years, the Ulcer Ratio is 0.49 , which is smaller, thus better than the value of 6.87 from the benchmark.

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:
  • The maximum reduction from previous high over 5 years of Invesco Ultra Short Duration ETF is -5.2 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -5.2 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 56 days of Invesco Ultra Short Duration ETF is lower, thus better.
  • During the last 3 years, the maximum days below previous high is 56 days, which is lower, thus better than the value of 139 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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Invesco Ultra Short Duration ETF is 8 days, which is lower, thus better compared to the benchmark SPY (43 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 8 days, which is smaller, thus better than the value of 39 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal 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.