Invesco Emerging Markets Sovereign Debt ETF (PCY)

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.'

• The total return, or increase in value over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 13.3%, which is lower, thus worse compared to the benchmark SPY (129.1%) in the same period.
• Looking at total return in of 16.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (71.3%).

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.'

• Looking at the annual performance (CAGR) of 2.5% 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 (18.1%)
• Looking at compounded annual growth rate (CAGR) in of 5.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.7%).

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.'

• Looking at the 30 days standard deviation of 12.7% 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 (18.7%)
• During the last 3 years, the historical 30 days volatility is 15.5%, which is lower, thus better than the value of 22.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 10.4% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus better.
• Looking at downside risk in of 12.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.3%).

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 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 (0.83)
• During the last 3 years, the risk / return profile (Sharpe) is 0.18, which is smaller, thus worse than the value of 0.76 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.'

• Looking at the ratio of annual return and downside deviation of 0 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 (1.15)
• During the last 3 years, the excess return divided by the downside deviation is 0.22, which is smaller, thus worse than the value of 1.05 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.'

• Looking at the Ulcer Ratio of 6.02 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 (5.59 )
• During the last 3 years, the Downside risk index is 6.5 , which is larger, thus worse than the value of 6.38 from the benchmark.

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 drop from peak to valley of -33.3 days in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• 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.'

• The maximum days under water over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 417 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days under water in of 417 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

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 126 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 (32 days)
• Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 135 days is higher, thus worse.