Invesco QQQ Trust (QQQ)

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.'

• Compared with the benchmark SPY (129.1%) in the period of the last 5 years, the total return, or performance of 227.6% of Invesco QQQ Trust is higher, thus better.
• During the last 3 years, the total return, or performance is 118.9%, which is greater, thus better than the value of 71.3% 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.'

• Looking at the compounded annual growth rate (CAGR) of 26.8% in the last 5 years of Invesco QQQ Trust, we see it is relatively higher, thus better in comparison to the benchmark SPY (18.1%)
• Compared with SPY (19.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 29.9% is greater, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the 30 days standard deviation of 22.2% in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
• Compared with SPY (22.5%) in the period of the last 3 years, the volatility of 26% 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.'

• Looking at the downside risk of 15.8% in the last 5 years of Invesco QQQ Trust, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the downside risk is 18.5%, which is higher, thus worse than the value of 16.3% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 1.1 in the last 5 years of Invesco QQQ Trust, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.83)
• Looking at Sharpe Ratio in of 1.05 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.76).

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 ratio of annual return and downside deviation over 5 years of Invesco QQQ Trust is 1.54, which is greater, thus better compared to the benchmark SPY (1.15) in the same period.
• Compared with SPY (1.05) in the period of the last 3 years, the excess return divided by the downside deviation of 1.48 is greater, 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 Index over 5 years of Invesco QQQ Trust is 5.56 , which is lower, thus better compared to the benchmark SPY (5.59 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 6.03 , which is lower, thus better than the value of 6.38 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum drop from peak to valley over 5 years of Invesco QQQ Trust is -28.6 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -28.6 days, which is higher, thus better than the value of -33.7 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Invesco QQQ Trust is 154 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 98 days is lower, thus better.

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.'

• Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days below previous high of 26 days of Invesco QQQ Trust is smaller, thus better.
• Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 24 days is lower, thus better.