Invesco BuyBack Achievers ETF (PKW)

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 (80%) in the period of the last 5 years, the total return, or performance of 66.9% of Invesco BuyBack Achievers ETF is smaller, thus worse.
• Compared with SPY (31.8%) in the period of the last 3 years, the total return of 38.3% is greater, thus better.

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 (12.5%) in the period of the last 5 years, the annual return (CAGR) of 10.8% of Invesco BuyBack Achievers ETF is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 11.4%, which is higher, thus better than the value of 9.7% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 24.1% in the last 5 years of Invesco BuyBack Achievers ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.3%)
• During the last 3 years, the 30 days standard deviation is 18.6%, which is larger, thus worse than the value of 17.6% 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.'

• The downside risk over 5 years of Invesco BuyBack Achievers ETF is 17.1%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 12.9% is larger, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of Invesco BuyBack Achievers ETF is 0.35, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.48, which is greater, thus better than the value of 0.41 from the benchmark.

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 BuyBack Achievers ETF is 0.49, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• Looking at excess return divided by the downside deviation in of 0.69 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.58).

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.'

• Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Index of 10 of Invesco BuyBack Achievers ETF is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 9.21 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -40.9 days of Invesco BuyBack Achievers ETF is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -23.5 days is larger, 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) in days.'

• The maximum time in days below previous high water mark over 5 years of Invesco BuyBack Achievers ETF is 519 days, which is greater, thus worse compared to the benchmark SPY (480 days) in the same period.
• Looking at maximum days under water in of 519 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (480 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 time in days below previous high water mark of 144 days in the last 5 years of Invesco BuyBack Achievers ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days below previous high in of 198 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (174 days).