Invesco Global Water ETF (PIO)

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 over 5 years of Invesco Global Water ETF is 70.8%, which is smaller, thus worse compared to the benchmark SPY (91.7%) in the same period.
• Looking at total return, or increase in value in of 38.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.9%).

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 Global Water ETF is 11.3%, which is lower, thus worse compared to the benchmark SPY (13.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 11.5%, which is lower, thus worse than the value of 13.9% from the benchmark.

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.'

• Looking at the volatility of 19.3% in the last 5 years of Invesco Global Water ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (19%)
• During the last 3 years, the 30 days standard deviation is 21.9%, which is smaller, thus better than the value of 22.8% from the benchmark.

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.'

• Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the downside risk of 13.9% of Invesco Global Water ETF is higher, thus worse.
• Compared with SPY (16.7%) in the period of the last 3 years, the downside risk of 15.9% is lower, thus better.

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 (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.46 of Invesco Global Water ETF is lower, thus worse.
• Compared with SPY (0.5) in the period of the last 3 years, the Sharpe Ratio of 0.41 is smaller, thus worse.

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 Global Water ETF is 0.63, which is smaller, thus worse compared to the benchmark SPY (0.82) in the same period.
• Looking at excess return divided by the downside deviation in of 0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.68).

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.'

• Compared with the benchmark SPY (5.82 ) in the period of the last 5 years, the Ulcer Index of 6.7 of Invesco Global Water ETF is higher, thus worse.
• Looking at Downside risk index in of 7.8 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.14 ).

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.'

• Looking at the maximum DrawDown of -35.8 days in the last 5 years of Invesco Global Water ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -35.8 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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 (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 281 days of Invesco Global Water ETF is larger, thus worse.
• Looking at maximum days under water in of 281 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

• Looking at the average days under water of 63 days in the last 5 years of Invesco Global Water ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (36 days)
• Looking at average days below previous high in of 79 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).