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 increase in value of 41.2% in the last 5 years of Invesco Global Water ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.1%)
• During the last 3 years, the total return is 27.5%, which is lower, thus worse than the value of 47% from the benchmark.

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 annual return (CAGR) over 5 years of Invesco Global Water ETF is 7.1%, which is smaller, thus worse compared to the benchmark SPY (11%) in the same period.
• Compared with SPY (13.7%) in the period of the last 3 years, the annual performance (CAGR) of 8.4% is smaller, thus worse.

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.'

• The 30 days standard deviation over 5 years of Invesco Global Water ETF is 21.1%, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
• Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 18.7% is larger, 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.'

• The downside volatility over 5 years of Invesco Global Water ETF is 15%, which is smaller, thus better compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 13.1% is smaller, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of Invesco Global Water ETF is 0.22, which is smaller, thus worse compared to the benchmark SPY (0.4) in the same period.
• Compared with SPY (0.6) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.32 is lower, 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.'

• Looking at the ratio of annual return and downside deviation of 0.31 in the last 5 years of Invesco Global Water ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
• Looking at ratio of annual return and downside deviation in of 0.45 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

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.'

• Compared with the benchmark SPY (9.45 ) in the period of the last 5 years, the Downside risk index of 13 of Invesco Global Water ETF is higher, thus worse.
• Looking at Ulcer Index in of 15 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.'

• The maximum reduction from previous high over 5 years of Invesco Global Water ETF is -35.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -34.3 days, which is lower, thus worse than the value of -24.5 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 (351 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 354 days of Invesco Global Water ETF is higher, thus worse.
• Compared with SPY (351 days) in the period of the last 3 years, the maximum days below previous high of 354 days is larger, thus worse.

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 time in days below previous high water mark over 5 years of Invesco Global Water ETF is 79 days, which is larger, thus worse compared to the benchmark SPY (78 days) in the same period.
• Looking at average time in days below previous high water mark in of 102 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (101 days).