Invesco WilderHill Clean Energy ETF (PBW)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or increase in value of -19.9% in the last 5 years of Invesco WilderHill Clean Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (94.2%)
• Looking at total return, or performance in of -71.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (27.9%).

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 (14.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -4.4% of Invesco WilderHill Clean Energy ETF is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is -34%, which is smaller, thus worse than the value of 8.6% 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.'

• The historical 30 days volatility over 5 years of Invesco WilderHill Clean Energy ETF is 46%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
• Looking at historical 30 days volatility in of 44.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.3%).

DownVol:

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

• Looking at the downside deviation of 32% in the last 5 years of Invesco WilderHill Clean Energy ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 30.9%, which is higher, thus worse than the value of 12.1% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the risk / return profile (Sharpe) of -0.15 in the last 5 years of Invesco WilderHill Clean Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
• Looking at Sharpe Ratio in of -0.83 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.35).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of -0.21 in the last 5 years of Invesco WilderHill Clean Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
• Compared with SPY (0.5) in the period of the last 3 years, the ratio of annual return and downside deviation of -1.18 is smaller, 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.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of 53 of Invesco WilderHill Clean Energy ETF is greater, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 54 is larger, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of Invesco WilderHill Clean Energy ETF is -84.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -78.3 days is lower, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 869 days in the last 5 years of Invesco WilderHill Clean Energy ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 680 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (488 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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 330 days of Invesco WilderHill Clean Energy ETF is greater, thus worse.
• Looking at average time in days below previous high water mark in of 312 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (180 days).