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 (106.8%) in the period of the last 5 years, the total return, or increase in value of 85.1% of Invesco BuyBack Achievers ETF is smaller, thus worse.
• Looking at total return in of 65.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (71.9%).

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.'

• Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the annual performance (CAGR) of 13.1% of Invesco BuyBack Achievers ETF is smaller, thus worse.
• Looking at annual performance (CAGR) in of 18.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.8%).

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 30 days standard deviation of 22.1% in the last 5 years of Invesco BuyBack Achievers ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.9%)
• During the last 3 years, the historical 30 days volatility is 26.3%, which is higher, thus worse than the value of 21.9% 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 volatility of 15.8% of Invesco BuyBack Achievers ETF is larger, thus worse.
• Looking at downside deviation in of 18.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.9%).

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.'

• The Sharpe Ratio over 5 years of Invesco BuyBack Achievers ETF is 0.48, which is lower, thus worse compared to the benchmark SPY (0.69) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.6, which is smaller, thus worse than the value of 0.79 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Invesco BuyBack Achievers ETF is 0.67, which is lower, thus worse compared to the benchmark SPY (0.95) in the same period.
• Compared with SPY (1.09) in the period of the last 3 years, the downside risk / excess return profile of 0.85 is lower, 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.'

• Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Ulcer Ratio of 8.56 of Invesco BuyBack Achievers ETF is larger, thus worse.
• Looking at Ulcer Ratio in of 9.74 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.08 ).

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 BuyBack Achievers ETF is -40.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -40.9 days is lower, thus worse.

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 days below previous high of 305 days of Invesco BuyBack Achievers ETF is larger, thus worse.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 215 days is greater, thus worse.

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.'

• The average days under water over 5 years of Invesco BuyBack Achievers ETF is 72 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
• During the last 3 years, the average days below previous high is 47 days, which is larger, thus worse than the value of 22 days from the benchmark.