'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:- Looking at the total return, or performance of -13.8% 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 (78.4%)
- Looking at total return, or performance in of -17.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.1%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (12.3%) in the period of the last 5 years, the annual performance (CAGR) of -2.9% of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
- Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -6% is smaller, thus worse.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Applying this definition to our asset in some examples:- Looking at the 30 days standard deviation of 13.4% 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 (19.9%)
- Compared with SPY (23.1%) in the period of the last 3 years, the historical 30 days volatility of 16.8% is lower, thus better.

'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 11% 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 (14.6%)
- Compared with SPY (16.9%) in the period of the last 3 years, the downside volatility of 13.9% is lower, thus better.

'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 (0.49) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.4 of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is -0.51, which is lower, thus worse than the value of 0.45 from the benchmark.

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:- Looking at the ratio of annual return and downside deviation of -0.49 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 (0.67)
- Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of -0.61 is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (6.16 ) in the period of the last 5 years, the Downside risk index of 7.84 of Invesco Emerging Markets Sovereign Debt ETF is larger, thus worse.
- During the last 3 years, the Ulcer Ratio is 9.31 , which is greater, thus worse than the value of 6.87 from the benchmark.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Using this definition on our asset we see for example:- 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 larger, thus better.
- During the last 3 years, the maximum drop from peak to valley is -33.3 days, which is higher, thus better than the value of -33.7 days from the benchmark.

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 567 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 (139 days)
- During the last 3 years, the maximum days below previous high is 567 days, which is greater, thus worse than the value of 119 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average days under water of 180 days of Invesco Emerging Markets Sovereign Debt ETF is greater, thus worse.
- Compared with SPY (27 days) in the period of the last 3 years, the average days under water of 231 days is higher, thus worse.

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, 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.