'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of Invesco Emerging Markets Sovereign Debt ETF is -3.8%, which is lower, thus worse compared to the benchmark SPY (109.2%) in the same period.
- Looking at total return, or performance in of -6.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.3%).

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of -0.8% 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 (15.9%)
- Looking at compounded annual growth rate (CAGR) in of -2.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

'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.'

Which means for our asset as example:- The volatility over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 16.7%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
- Looking at historical 30 days volatility in of 15.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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

Applying this definition to our asset in some examples:- The downside deviation over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 12.7%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
- During the last 3 years, the downside risk is 10.5%, which is smaller, thus better than the value of 12.3% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.64) in the period of the last 5 years, the Sharpe Ratio of -0.2 of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
- Looking at risk / return profile (Sharpe) in of -0.31 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.43).

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of -0.26 in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.9)
- During the last 3 years, the excess return divided by the downside deviation is -0.45, which is smaller, thus worse than the value of 0.62 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Downside risk index of 18 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 (9.32 )
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 20 is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of Invesco Emerging Markets Sovereign Debt ETF is -37.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -36 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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) in days.'

Applying this definition to our asset in some examples:- The maximum days under water over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 1188 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
- During the last 3 years, the maximum days below previous high is 754 days, which is higher, thus worse than the value of 488 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The average days under water over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 576 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
- Looking at average days under water in of 378 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (176 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Invesco Emerging Markets Sovereign Debt ETF are hypothetical and do not account for slippage, fees or taxes.