Invesco Emerging Markets Sovereign Debt ETF (PCY)

TotalReturn:

'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.'

• Looking at the total return, or increase in value of 25.9% 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 (164.3%)
• Looking at total return, or performance in of 12.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32.2%).

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 (21.5%) in the period of the last 5 years, the annual return (CAGR) of 4.7% of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
• Compared with SPY (9.8%) in the period of the last 3 years, the annual return (CAGR) of 4% is lower, thus worse.

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.'

• Compared with the benchmark SPY (18.2%) in the period of the last 5 years, the volatility of 13.9% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus better.
• Looking at 30 days standard deviation in of 14.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17%).

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 deviation of 9.4% 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 (12.2%)
• Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 9.7% is lower, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 0.16, which is smaller, thus worse compared to the benchmark SPY (1.04) in the same period.
• Compared with SPY (0.43) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.1 is lower, thus worse.

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 downside risk / excess return profile over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 0.24, which is smaller, thus worse compared to the benchmark SPY (1.55) in the same period.
• Compared with SPY (0.61) in the period of the last 3 years, the downside risk / excess return profile of 0.16 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.'

• The Downside risk index over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 17 , which is larger, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• Compared with SPY (8.63 ) in the period of the last 3 years, the Downside risk index of 9.51 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -37.4 days of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -25.3 days, which is lower, thus worse than the value of -22.1 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.'

• Looking at the maximum days below previous high of 1059 days in the last 5 years of Invesco Emerging Markets Sovereign Debt ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 426 days, which is larger, thus worse than the value of 325 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 below previous high over 5 years of Invesco Emerging Markets Sovereign Debt ETF is 469 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 140 days, which is higher, thus worse than the value of 89 days from the benchmark.