Invesco Shipping ETF (SEA)

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.'

• Looking at the total return, or increase in value of 128.7% in the last 5 years of Invesco Shipping ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (98.9%)
• Looking at total return, or increase in value in of -6.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (39.9%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 18% in the last 5 years of Invesco Shipping ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (14.8%)
• During the last 3 years, the compounded annual growth rate (CAGR) is -2.1%, which is lower, thus worse than the value of 11.9% from the benchmark.

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.'

• The volatility over 5 years of Invesco Shipping ETF is 64.3%, which is greater, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at historical 30 days volatility in of 22.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 12.4% of Invesco Shipping ETF is lower, thus better.
• Looking at downside volatility in of 15.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the ratio of return and volatility (Sharpe) of 0.24 in the last 5 years of Invesco Shipping ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
• During the last 3 years, the Sharpe Ratio is -0.21, which is smaller, thus worse than the value of 0.54 from the benchmark.

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 (0.82) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.26 of Invesco Shipping ETF is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is -0.29, which is lower, thus worse than the value of 0.78 from the benchmark.

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.'

• The Ulcer Index over 5 years of Invesco Shipping ETF is 15 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.64 ).

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 DrawDown of -39.5 days in the last 5 years of Invesco Shipping ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -39.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 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'

• Looking at the maximum days below previous high of 541 days in the last 5 years of Invesco Shipping ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 541 days is larger, thus worse.

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.'

• The average days under water over 5 years of Invesco Shipping ETF is 193 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average days under water is 219 days, which is greater, thus worse than the value of 89 days from the benchmark.