Invesco QQQ Trust (QQQ)

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.'

• The total return, or performance over 5 years of Invesco QQQ Trust is 113%, which is higher, thus better compared to the benchmark SPY (103.3%) in the same period.
• Compared with SPY (59.7%) in the period of the last 3 years, the total return, or performance of 79.8% is larger, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 16.4% in the last 5 years of Invesco QQQ Trust, we see it is relatively larger, thus better in comparison to the benchmark SPY (15.3%)
• During the last 3 years, the annual return (CAGR) is 21.7%, which is higher, thus better than the value of 17% 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 23.3% in the last 5 years of Invesco QQQ Trust, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.5%)
• During the last 3 years, the 30 days standard deviation is 22.2%, which is larger, thus worse than the value of 17.3% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Invesco QQQ Trust is 16.2%, which is higher, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Looking at downside risk in of 14.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.5%).

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.'

• Looking at the Sharpe Ratio of 0.6 in the last 5 years of Invesco QQQ Trust, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.73)
• Looking at risk / return profile (Sharpe) in of 0.87 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.84).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the excess return divided by the downside deviation of 0.86 in the last 5 years of Invesco QQQ Trust, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.06)
• Compared with SPY (1.26) in the period of the last 3 years, the excess return divided by the downside deviation of 1.29 is higher, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Invesco QQQ Trust is 14 , which is greater, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Looking at Downside risk index in of 7.9 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.31 ).

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 DrawDown 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.
• Looking at maximum drop from peak to valley in of -22.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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 greater, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 190 days is lower, thus better.

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 higher, thus worse in comparison to the benchmark SPY (120 days)
• Compared with SPY (47 days) in the period of the last 3 years, the average days below previous high of 47 days is greater, thus worse.