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.'

• Looking at the total return, or performance of 22.9% in the last 5 years of Invesco Global Water ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (59.2%)
• During the last 3 years, the total return, or performance is 22.9%, which is lower, thus worse than the value of 33.1% from the benchmark.

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.'

• Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.2% of Invesco Global Water ETF is lower, thus worse.
• Looking at annual return (CAGR) in of 7.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10%).

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 19.5% in the last 5 years of Invesco Global Water ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• Looking at 30 days standard deviation in of 21% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (21.5%).

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 14.1% in the last 5 years of Invesco Global Water ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
• Compared with SPY (15.7%) in the period of the last 3 years, the downside volatility of 15.2% is lower, thus better.

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.'

• Looking at the Sharpe Ratio of 0.09 in the last 5 years of Invesco Global Water ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
• Compared with SPY (0.35) in the period of the last 3 years, the Sharpe Ratio of 0.22 is lower, 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 ratio of annual return and downside deviation over 5 years of Invesco Global Water ETF is 0.12, which is smaller, thus worse compared to the benchmark SPY (0.53) in the same period.
• Compared with SPY (0.48) in the period of the last 3 years, the downside risk / excess return profile of 0.3 is smaller, thus worse.

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 Ulcer Ratio of 9.95 in the last 5 years of Invesco Global Water ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.79 )
• Looking at Ulcer Index in of 7.48 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.83 ).

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -35.8 days of Invesco Global Water ETF is lower, thus worse.
• 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 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.'

• The maximum time in days below previous high water mark over 5 years of Invesco Global Water ETF is 505 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 281 days, which is higher, thus worse than the value of 139 days from the benchmark.

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 (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 151 days of Invesco Global Water ETF is higher, thus worse.
• During the last 3 years, the average days below previous high is 72 days, which is higher, thus worse than the value of 38 days from the benchmark.