Invesco Shipping ETF (SEA)

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.'

• Looking at the total return, or performance of 77.5% in the last 5 years of Invesco Shipping ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (61.9%)
• During the last 3 years, the total return is 110.8%, which is greater, thus better than the value of 79.4% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 12.2% in the last 5 years of Invesco Shipping ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.1%)
• Compared with SPY (21.5%) in the period of the last 3 years, the annual return (CAGR) of 28.2% is larger, thus better.

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 historical 30 days volatility over 5 years of Invesco Shipping ETF is 64.6%, which is larger, thus worse compared to the benchmark SPY (21.5%) in the same period.
• During the last 3 years, the 30 days standard deviation is 81.7%, which is greater, thus worse than the value of 21.2% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Invesco Shipping ETF is 13.3%, which is smaller, thus better compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside risk is 12.3%, which is lower, thus better than the value of 14.1% from the benchmark.

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 Sharpe Ratio of 0.15 in the last 5 years of Invesco Shipping ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.9) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.31 is smaller, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.73 in the last 5 years of Invesco Shipping ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.49)
• Looking at excess return divided by the downside deviation in of 2.09 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.35).

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 Ratio over 5 years of Invesco Shipping ETF is 17 , which is larger, thus worse compared to the benchmark SPY (9.15 ) in the same period.
• Compared with SPY (9.78 ) in the period of the last 3 years, the Ulcer Ratio of 14 is larger, thus worse.

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 Shipping ETF is -39.5 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -39.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 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) in days.'

• Looking at the maximum days below previous high of 585 days in the last 5 years of Invesco Shipping ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (305 days)
• Compared with SPY (305 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 253 days is smaller, 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.'

• The average days below previous high over 5 years of Invesco Shipping ETF is 230 days, which is higher, thus worse compared to the benchmark SPY (65 days) in the same period.
• Compared with SPY (80 days) in the period of the last 3 years, the average days below previous high of 115 days is higher, thus worse.