Description

The investment seeks maximum current income, consistent with preservation of capital and daily liquidity. The fund will invest at least 80% of its net assets in fixed income securities and in ETFs and closed-end funds that invest substantially all of their assets in fixed income securities. It uses a low duration strategy to seek to outperform the ICE BofA US Treasury Bill Index in addition to providing returns in excess of those available in U.S. Treasury bills, government repurchase agreements, and money market funds, while seeking to provide preservation of capital and daily liquidity. The fund is non-diversified.

Statistics (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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return, or increase in value of 9.3% of Invesco Ultra Short Duration ETF is lower, thus worse.
  • Compared with SPY (44.5%) in the period of the last 3 years, the total return, or performance of 3.5% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 1.8% of Invesco Ultra Short Duration ETF is smaller, thus worse.
  • During the last 3 years, the annual performance (CAGR) is 1.1%, which is smaller, thus worse than the value of 13.1% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 1.7% 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 (21.4%)
  • During the last 3 years, the historical 30 days volatility is 0.6%, which is lower, thus better than the value of 18.7% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of Invesco Ultra Short Duration ETF is 1.4%, which is lower, thus better compared to the benchmark SPY (15.4%) in the same period.
  • During the last 3 years, the downside deviation is 0.4%, which is lower, thus better than the value of 13.3% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Invesco Ultra Short Duration ETF is -0.42, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of -2.41 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.55) in the period of the last 5 years, the downside risk / excess return profile of -0.48 of Invesco Ultra Short Duration ETF is smaller, thus worse.
  • Looking at downside risk / excess return profile in of -3.81 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.79).

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 Index 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 (9.47 )
  • During the last 3 years, the Downside risk index is 0.6 , which is lower, thus better than the value of 10 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -5.2 days in the last 5 years of Invesco Ultra Short Duration ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum DrawDown in of -1.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (354 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 329 days of Invesco Ultra Short Duration ETF is lower, thus better.
  • Looking at maximum days below previous high in of 329 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (354 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of Invesco Ultra Short Duration ETF is 75 days, which is lower, thus better compared to the benchmark SPY (79 days) in the same period.
  • During the last 3 years, the average days under water is 95 days, which is lower, thus better than the value of 102 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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.