Description

Invesco Alerian Galaxy Crypto Economy ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of % in the last 5 years of Invesco Alerian Galaxy Crypto Economy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (63%)
  • Looking at total return, or performance in of % in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.2%).

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of % in the last 5 years of Invesco Alerian Galaxy Crypto Economy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.3%)
  • Looking at annual return (CAGR) in of % in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.5%).

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Invesco Alerian Galaxy Crypto Economy ETF is %, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
  • Compared with SPY (24.9%) in the period of the last 3 years, the 30 days standard deviation of % is smaller, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of % in the last 5 years of Invesco Alerian Galaxy Crypto Economy ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.6%)
  • Compared with SPY (18%) in the period of the last 3 years, the downside risk of % is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of Invesco Alerian Galaxy Crypto Economy ETF is , which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • Looking at risk / return profile (Sharpe) in of in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.28).

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of in the last 5 years of Invesco Alerian Galaxy Crypto Economy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.5)
  • Looking at excess return divided by the downside deviation in of in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:
  • Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Downside risk index of of Invesco Alerian Galaxy Crypto Economy ETF is lower, thus better.
  • During the last 3 years, the Ulcer Ratio is , which is smaller, thus better than the value of 10 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of days of Invesco Alerian Galaxy Crypto Economy ETF is smaller, thus worse.
  • Looking at maximum reduction from previous high in of days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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). 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'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of days in the last 5 years of Invesco Alerian Galaxy Crypto Economy ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (233 days)
  • During the last 3 years, the maximum days below previous high is days, which is lower, thus better than the value of 233 days from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (54 days) in the period of the last 5 years, the average days under water of days of Invesco Alerian Galaxy Crypto Economy ETF is smaller, thus better.
  • Looking at average days under water in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (59 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Invesco Alerian Galaxy Crypto Economy ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.