Description

Invesco Emerging Markets Sovereign Debt ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (59.9%) in the period of the last 5 years, the total return of 17.2% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
  • Compared with SPY (34.2%) in the period of the last 3 years, the total return of 1.4% is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the annual performance (CAGR) of 3.2% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is 0.5%, which is lower, thus worse than the value of 10.3% 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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 12.3%, which is smaller, thus better compared to the benchmark SPY (18.7%) in the same period.
  • Looking at historical 30 days volatility in of 14.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.5%).

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside risk of 10.1% in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.6%)
  • Looking at downside volatility in of 12.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.7%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.39) in the period of the last 5 years, the Sharpe Ratio of 0.06 of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
  • During the last 3 years, the Sharpe Ratio is -0.14, which is lower, thus worse than the value of 0.36 from the benchmark.

Sortino:

'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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.07 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 (0.54)
  • Compared with SPY (0.5) in the period of the last 3 years, the downside risk / excess return profile of -0.17 is lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 5.57 in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (5.81 )
  • Compared with SPY (6.86 ) in the period of the last 3 years, the Ulcer Ratio of 6.73 is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.3 days of Invesco Emerging Markets Sovereign Debt ETF is higher, thus better.
  • During the last 3 years, the maximum DrawDown is -33.3 days, which is higher, thus better than the value of -33.7 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) in days.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 300 days of Invesco Emerging Markets Sovereign Debt ETF is greater, thus worse.
  • During the last 3 years, the maximum days below previous high is 300 days, which is higher, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average time in days below previous high water mark of 71 days of Invesco Emerging Markets Sovereign Debt ETF is larger, thus worse.
  • During the last 3 years, the average days under water is 81 days, which is larger, thus worse than the value of 39 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • 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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.