Invesco Water Resources ETF (PHO)

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.'

• Compared with the benchmark SPY (97.3%) in the period of the last 5 years, the total return, or performance of 73% of Invesco Water Resources ETF is smaller, thus worse.
• Compared with SPY (40.1%) in the period of the last 3 years, the total return of 31.2% 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.'

• The annual return (CAGR) over 5 years of Invesco Water Resources ETF is 11.6%, which is lower, thus worse compared to the benchmark SPY (14.6%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.6%, which is lower, thus worse than the value of 12% from the benchmark.

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.'

• Looking at the volatility of 23.2% in the last 5 years of Invesco Water Resources ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21%)
• Compared with SPY (17.3%) in the period of the last 3 years, the volatility of 19.2% is higher, 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.'

• Looking at the downside risk of 16.3% in the last 5 years of Invesco Water Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside volatility is 13.1%, which is higher, thus worse than the value of 12.1% 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 (0.58) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.39 of Invesco Water Resources ETF is lower, thus worse.
• Compared with SPY (0.55) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.37 is smaller, 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 Water Resources ETF is 0.56, which is smaller, thus worse compared to the benchmark SPY (0.8) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.54, which is lower, thus worse than the value of 0.78 from the benchmark.

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.'

• The Ulcer Index over 5 years of Invesco Water Resources ETF is 11 , which is greater, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 6.3 , which is lower, thus better than the value of 8.64 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -34.9 days in the last 5 years of Invesco Water Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -19.9 days is greater, thus better.

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 493 days in the last 5 years of Invesco Water Resources ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 116 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (325 days).

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.'

• The average days below previous high over 5 years of Invesco Water Resources ETF is 124 days, which is higher, thus worse compared to the benchmark SPY (122 days) in the same period.
• Looking at average days under water in of 34 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (89 days).