Description

Invesco Water Resources ETF

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of Invesco Water Resources ETF is 67.6%, which is higher, thus better compared to the benchmark SPY (60.7%) in the same period.
  • Looking at total return, or increase in value in of 30% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (29.5%).

CAGR:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 10.9% of Invesco Water Resources ETF is larger, thus better.
  • During the last 3 years, the annual performance (CAGR) is 9.1%, which is higher, thus better than the value of 9% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the volatility of 22.2% of Invesco Water Resources ETF is larger, thus worse.
  • During the last 3 years, the volatility is 26%, which is larger, thus worse than the value of 24% from the benchmark.

DownVol:

'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:
  • The downside risk over 5 years of Invesco Water Resources ETF is 15.9%, which is larger, thus worse compared to the benchmark SPY (15.3%) in the same period.
  • Looking at downside volatility in of 18.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

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:
  • Compared with the benchmark SPY (0.36) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.38 of Invesco Water Resources ETF is higher, thus better.
  • Looking at risk / return profile (Sharpe) in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.27).

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 ratio of annual return and downside deviation of 0.53 in the last 5 years of Invesco Water Resources ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.49)
  • Compared with SPY (0.37) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.36 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of Invesco Water Resources ETF is 8.79 , which is greater, thus worse compared to the benchmark SPY (7.52 ) in the same period.
  • During the last 3 years, the Downside risk index is 11 , which is larger, thus worse than the value of 8.81 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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Invesco Water Resources ETF is -34.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -34.9 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 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:
  • Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 183 days of Invesco Water Resources ETF is larger, thus worse.
  • Looking at maximum time in days below previous high water mark in of 183 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (182 days).

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:
  • Compared with the benchmark SPY (45 days) in the period of the last 5 years, the average time in days below previous high water mark of 45 days of Invesco Water Resources ETF is larger, thus worse.
  • Looking at average days below previous high in of 52 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (43 days).

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, 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.