Invesco Emerging Markets Sovereign Debt ETF (PCY)

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.'

• The total return, or performance over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 29.1%, which is smaller, thus worse compared to the benchmark SPY (91.7%) in the same period.
• During the last 3 years, the total return, or increase in value is 11.2%, which is smaller, thus worse than the value of 47.9% from the benchmark.

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.'

• Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.2% of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 3.6%, which is lower, thus worse than the value of 13.9% from the benchmark.

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 Emerging Markets Sovereign Debt ETF is 12.5%, which is lower, thus better compared to the benchmark SPY (19%) in the same period.
• Compared with SPY (22.8%) in the period of the last 3 years, the 30 days standard deviation of 15.2% is lower, thus better.

DownVol:

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

• The downside risk over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 10.2%, which is smaller, thus better compared to the benchmark SPY (13.8%) in the same period.
• Compared with SPY (16.7%) in the period of the last 3 years, the downside deviation of 12.5% is lower, thus better.

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.'

• The Sharpe Ratio over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 0.22, which is smaller, thus worse compared to the benchmark SPY (0.6) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.07, which is smaller, thus worse than the value of 0.5 from the benchmark.

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 Emerging Markets Sovereign Debt ETF is 0.27, which is lower, thus worse compared to the benchmark SPY (0.82) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.09, which is lower, thus worse than the value of 0.68 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (5.82 ) in the period of the last 5 years, the Ulcer Ratio of 5.98 of Invesco Emerging Markets Sovereign Debt ETF is larger, thus worse.
• Compared with SPY (7.14 ) in the period of the last 3 years, the Ulcer Index of 7.31 is greater, 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.'

• Looking at the maximum DrawDown of -33.3 days in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -33.3 days is larger, thus better.

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.'

• The maximum time in days below previous high water mark over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 300 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum days under water is 300 days, which is greater, thus worse 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.'

• Looking at the average days under water of 80 days in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (36 days)
• Looking at average days below previous high in of 98 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).