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 over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 36.6%, which is lower, thus worse compared to the benchmark SPY (74.2%) in the same period.
• Looking at total return, or performance in of 20.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (50.1%).

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6.4% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 6.5%, which is lower, thus worse than the value of 14.5% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 6.3% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 5.6%, which is smaller, thus better than the value of 13% 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.'

• Looking at the downside volatility of 4.4% in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.6%)
• During the last 3 years, the downside volatility is 3.7%, which is lower, thus better than the value of 9.4% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.63 in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.69)
• Looking at risk / return profile (Sharpe) in of 0.72 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.93).

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.'

• Compared with the benchmark SPY (0.96) in the period of the last 5 years, the excess return divided by the downside deviation of 0.9 of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 1.06 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.27).

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.'

• The Downside risk index over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 3.76 , which is lower, thus better compared to the benchmark SPY (3.97 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 4.01 , which is smaller, thus better than the value of 4.1 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of Invesco Emerging Markets Sovereign Debt ETF is -10.1 days, which is greater, thus better compared to the benchmark SPY (-19.3 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -10.1 days, which is higher, thus better than the value of -19.3 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'

• Looking at the maximum days under water of 300 days in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days under water is 300 days, which is larger, thus worse than the value of 139 days from the benchmark.

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 Emerging Markets Sovereign Debt ETF is 73 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• Looking at average days below previous high in of 81 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (37 days).