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 performance over 5 years of Invesco Emerging Markets Sovereign Debt ETF is -10.7%, which is lower, thus worse compared to the benchmark SPY (58.9%) in the same period.
• Looking at total return in of -21% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.9%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Invesco Emerging Markets Sovereign Debt ETF is -2.2%, which is lower, thus worse compared to the benchmark SPY (9.7%) in the same period.
• Compared with SPY (10.2%) in the period of the last 3 years, the annual return (CAGR) of -7.6% is smaller, thus worse.

Volatility:

'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.'

• Looking at the 30 days standard deviation of 15.7% 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 (21.6%)
• Compared with SPY (25%) in the period of the last 3 years, the volatility of 19.6% is lower, thus better.

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 (15.7%) in the period of the last 5 years, the downside volatility of 12.1% of Invesco Emerging Markets Sovereign Debt ETF is lower, thus better.
• Looking at downside deviation in of 15.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.1%).

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.'

• Compared with the benchmark SPY (0.33) in the period of the last 5 years, the Sharpe Ratio of -0.3 of Invesco Emerging Markets Sovereign Debt ETF is lower, thus worse.
• Compared with SPY (0.31) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.51 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.'

• Compared with the benchmark SPY (0.46) in the period of the last 5 years, the excess return divided by the downside deviation of -0.39 of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
• Compared with SPY (0.43) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.66 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.'

• Looking at the Ulcer Ratio of 13 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 (8.91 )
• During the last 3 years, the Ulcer Index is 17 , which is higher, thus worse than the value of 11 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -37.8 days of Invesco Emerging Markets Sovereign Debt ETF is smaller, thus worse.
• Looking at maximum DrawDown in of -37.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 742 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 (271 days)
• During the last 3 years, the maximum days under water is 742 days, which is larger, thus worse than the value of 271 days from the benchmark.

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 262 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 (60 days)
• During the last 3 years, the average time in days below previous high water mark is 371 days, which is larger, thus worse than the value of 72 days from the benchmark.