Description

Invesco Water Resources ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (100.7%) in the period of the last 5 years, the total return, or performance of 109.7% of Invesco Water Resources ETF is larger, thus better.
  • Compared with SPY (33.2%) in the period of the last 3 years, the total return, or performance of 32.3% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16% of Invesco Water Resources ETF is greater, thus better.
  • Compared with SPY (10%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.8% 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.'

Applying this definition to our asset in some examples:
  • Looking at the volatility of 23% in the last 5 years of Invesco Water Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (20.9%)
  • Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 19.1% is greater, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 16.1% of Invesco Water Resources ETF is larger, thus worse.
  • Compared with SPY (12%) in the period of the last 3 years, the downside risk of 13.1% is greater, thus worse.

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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of Invesco Water Resources ETF is 0.59, which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
  • During the last 3 years, the Sharpe Ratio is 0.38, which is smaller, thus worse than the value of 0.44 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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.84 in the last 5 years of Invesco Water Resources ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.83)
  • Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of 0.55 is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 10 in the last 5 years of Invesco Water Resources ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.32 )
  • Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -34.9 days in the last 5 years of Invesco Water Resources ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum reduction from previous high in of -28.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

MaxDuration:

'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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of Invesco Water Resources ETF is 493 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 493 days is greater, thus worse.

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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of Invesco Water Resources ETF is 125 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
  • During the last 3 years, the average days below previous high is 180 days, which is greater, thus worse than the value of 180 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Invesco Water Resources ETF are hypothetical and do not account for slippage, fees or taxes.