Invesco QQQ Trust (QQQ)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (98.9%) in the period of the last 5 years, the total return, or increase in value of 109.5% of Invesco QQQ Trust is larger, thus better.
• Looking at total return, or increase in value in of 113.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (74%).

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.'

• Looking at the annual return (CAGR) of 16% in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus better in comparison to the benchmark SPY (14.8%)
• Compared with SPY (20.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 28.9% is larger, thus better.

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 historical 30 days volatility of 22.6% in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (15.7%) in the period of the last 3 years, the 30 days standard deviation of 20.4% is higher, 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 deviation over 5 years of Invesco QQQ Trust is 15.7%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside volatility of 13.6% is higher, thus worse.

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.'

• The risk / return profile (Sharpe) over 5 years of Invesco QQQ Trust is 0.6, which is lower, thus worse compared to the benchmark SPY (0.72) in the same period.
• Compared with SPY (1.14) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.29 is greater, thus better.

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 QQQ Trust is 0.86, which is lower, thus worse compared to the benchmark SPY (1.05) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.94 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.71).

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.'

• Looking at the Ulcer Ratio of 14 in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.42 )
• Looking at Ulcer Index in of 4.87 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.63 ).

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 QQQ Trust is -35.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -22.8 days, which is lower, thus worse than the value of -18.8 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 (488 days) in the period of the last 5 years, the maximum days under water of 493 days of Invesco QQQ Trust is larger, thus worse.
• Looking at maximum time in days below previous high water mark in of 85 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (87 days).

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.'

• Looking at the average days under water of 122 days in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days below previous high in of 24 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).