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 (86.3%) in the period of the last 5 years, the total return, or increase in value of 104.2% of Invesco QQQ Trust is greater, thus better.
• During the last 3 years, the total return is 100.8%, which is larger, thus better than the value of 79.8% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the annual return (CAGR) of 15.4% of Invesco QQQ Trust is greater, thus better.
• Looking at annual return (CAGR) in of 26.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (21.7%).

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 volatility of 23% in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.2%)
• Looking at historical 30 days volatility in of 20.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.4%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (11.8%) in the period of the last 5 years, the downside risk of 15.9% of Invesco QQQ Trust is greater, thus worse.
• Looking at downside volatility in of 13.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.3%).

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 risk / return profile (Sharpe) of 0.56 in the last 5 years of Invesco QQQ Trust, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.63)
• Looking at Sharpe Ratio in of 1.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.25).

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.'

• Compared with the benchmark SPY (0.91) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.81 of Invesco QQQ Trust is lower, thus worse.
• Looking at downside risk / excess return profile in of 1.71 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.86).

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 14 , which is larger, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Ulcer Index is 4.83 , which is larger, thus worse than the value of 3.37 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.'

• Looking at the maximum drop from peak to valley of -35.1 days in the last 5 years of Invesco QQQ Trust, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -22.8 days, which is smaller, 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). 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 493 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 113 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 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 days under water of 124 days in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 29 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18 days).