'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 investmentâ€™s overall performance.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of Invesco Shipping ETF is -43.3%, which is lower, thus worse compared to the benchmark SPY (62.4%) in the same period.
- During the last 3 years, the total return, or performance is -23%, which is lower, thus worse than the value of 39.3% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of -10.8% in the last 5 years of Invesco Shipping ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.2%)
- Looking at compounded annual growth rate (CAGR) in of -8.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.7%).

'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.'

Which means for our asset as example:- Looking at the volatility of 20.9% in the last 5 years of Invesco Shipping ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
- Looking at volatility in of 18.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.2%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the downside volatility of 15.6% of Invesco Shipping ETF is larger, thus worse.
- During the last 3 years, the downside volatility is 13.8%, which is greater, thus worse than the value of 9.8% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of Invesco Shipping ETF is -0.63, which is smaller, thus worse compared to the benchmark SPY (0.57) in the same period.
- Compared with SPY (0.69) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.58 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.85 of Invesco Shipping ETF is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is -0.78, which is lower, thus worse than the value of 0.94 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (3.98 ) in the period of the last 5 years, the Ulcer Index of 35 of Invesco Shipping ETF is greater, thus worse.
- Compared with SPY (4.12 ) in the period of the last 3 years, the Ulcer Ratio of 17 is greater, thus worse.

'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:- The maximum reduction from previous high over 5 years of Invesco Shipping ETF is -50.5 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -33 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 1216 days of Invesco Shipping ETF is higher, thus worse.
- Looking at maximum days under water in of 525 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

'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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of Invesco Shipping ETF is 593 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
- Compared with SPY (37 days) in the period of the last 3 years, the average days under water of 199 days is larger, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Invesco Shipping 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.