Invesco Global Clean Energy ETF (PBD)

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.'

• Looking at the total return of -13.6% in the last 5 years of Invesco Global Clean Energy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (106.2%)
• Looking at total return, or increase in value in of -34.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (69.9%).

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.'

• Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -2.9% of Invesco Global Clean Energy ETF is lower, thus worse.
• Looking at annual performance (CAGR) in of -13.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.5%).

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.'

• The volatility over 5 years of Invesco Global Clean Energy ETF is 30.1%, which is higher, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Looking at volatility in of 27.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.7%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside risk of 20.7% in the last 5 years of Invesco Global Clean Energy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.2%)
• During the last 3 years, the downside deviation is 19.1%, which is larger, thus worse than the value of 11.6% 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.'

• The Sharpe Ratio over 5 years of Invesco Global Clean Energy ETF is -0.18, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at Sharpe Ratio in of -0.57 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.96).

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.'

• The excess return divided by the downside deviation over 5 years of Invesco Global Clean Energy ETF is -0.26, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.83, which is smaller, thus worse than the value of 1.46 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 49 in the last 5 years of Invesco Global Clean Energy ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Ulcer Ratio in of 37 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (5.32 ).

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 -75.4 days in the last 5 years of Invesco Global Clean Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -60.6 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1105 days of Invesco Global Clean Energy ETF is greater, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 713 days is higher, thus worse.

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 days under water over 5 years of Invesco Global Clean Energy ETF is 516 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 346 days, which is higher, thus worse than the value of 46 days from the benchmark.