Invesco Ultra Short Duration ETF (GSY)

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.'

• Compared with the benchmark SPY (85.8%) in the period of the last 5 years, the total return, or increase in value of 20.6% of Invesco Ultra Short Duration ETF is lower, thus worse.
• Compared with SPY (85%) in the period of the last 3 years, the total return, or increase in value of 16.4% is lower, thus worse.

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.'

• The annual return (CAGR) over 5 years of Invesco Ultra Short Duration ETF is 3.8%, which is lower, thus worse compared to the benchmark SPY (13.2%) in the same period.
• Compared with SPY (22.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.2% is lower, 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.'

• Looking at the 30 days standard deviation of 0.6% 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 (17.2%)
• Looking at 30 days standard deviation in of 0.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.3%).

DownVol:

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

• Looking at the downside risk of 0.3% 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 (11.8%)
• Looking at downside deviation in of 0.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.2%).

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 risk / return profile (Sharpe) of 2.27 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 (0.63)
• Looking at risk / return profile (Sharpe) in of 5.23 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.33).

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.'

• Looking at the downside risk / excess return profile of 4.35 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 (0.91)
• Looking at excess return divided by the downside deviation in of 13 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (2).

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 0.46 of Invesco Ultra Short Duration ETF is smaller, thus better.
• During the last 3 years, the Downside risk index is 0.02 , which is lower, thus better than the value of 3.23 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.'

• Looking at the maximum reduction from previous high of -1.5 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 (-24.5 days)
• Looking at maximum DrawDown 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• 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 smaller, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 12 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (87 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

• The average time in days below previous high water mark over 5 years of Invesco Ultra Short Duration ETF is 88 days, which is smaller, thus better compared to the benchmark SPY (118 days) in the same period.
• Compared with SPY (17 days) in the period of the last 3 years, the average days below previous high of 2 days is lower, thus better.