Invesco Water Resources ETF (PHO)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or increase in value of 100% in the last 5 years of Invesco Water Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (107.6%)
• Compared with SPY (48.1%) in the period of the last 3 years, the total return, or increase in value of 43.3% is lower, thus worse.

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 (15.8%) in the period of the last 5 years, the annual return (CAGR) of 14.9% of Invesco Water Resources ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 12.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14%).

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.'

• The historical 30 days volatility over 5 years of Invesco Water Resources ETF is 19.2%, which is higher, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Looking at 30 days standard deviation in of 19.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.3%).

DownVol:

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

• Looking at the downside volatility of 13% in the last 5 years of Invesco Water Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.5%)
• During the last 3 years, the downside risk is 13%, which is higher, thus worse than the value of 12.4% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.74) in the period of the last 5 years, the Sharpe Ratio of 0.65 of Invesco Water Resources ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.53 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.63).

Sortino:

'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.'

• The downside risk / excess return profile over 5 years of Invesco Water Resources ETF is 0.95, which is lower, thus worse compared to the benchmark SPY (1.06) in the same period.
• Looking at excess return divided by the downside deviation in of 0.79 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.93).

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 Downside risk index of 9.75 in the last 5 years of Invesco Water Resources ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• Compared with SPY (5.54 ) in the period of the last 3 years, the Ulcer Ratio of 6.06 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -28.6 days of Invesco Water Resources ETF is lower, thus worse.
• Looking at maximum reduction from previous high in of -19.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 493 days of Invesco Water Resources ETF is larger, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 116 days is smaller, thus better.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 119 days of Invesco Water Resources ETF is higher, thus worse.
• Looking at average time in days below previous high water mark in of 36 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (45 days).