Invesco S&P 500 Low Volatility ETF (SPLV)

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 (110.8%) in the period of the last 5 years, the total return of 42% of Invesco S&P 500 Low Volatility ETF is smaller, thus worse.
• Compared with SPY (36.5%) in the period of the last 3 years, the total return of 24.2% is lower, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Invesco S&P 500 Low Volatility ETF is 7.3%, which is smaller, thus worse compared to the benchmark SPY (16.1%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 7.5%, which is lower, thus worse than the value of 11% from the benchmark.

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.'

• Looking at the volatility of 18.8% in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (20.9%)
• During the last 3 years, the 30 days standard deviation is 12.9%, which is lower, thus better than the value of 17.5% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 13.6% in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.9%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 9.1% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.25 of Invesco S&P 500 Low Volatility ETF is lower, thus worse.
• Compared with SPY (0.48) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.39 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (0.91) in the period of the last 5 years, the downside risk / excess return profile of 0.35 of Invesco S&P 500 Low Volatility ETF is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.55, which is smaller, thus worse than the value of 0.69 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of 8.81 of Invesco S&P 500 Low Volatility ETF is lower, thus better.
• During the last 3 years, the Ulcer Index is 7.18 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of Invesco S&P 500 Low Volatility ETF is -36.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -17.3 days, which is larger, thus better than the value of -24.5 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) in days.'

• The maximum time in days below previous high water mark over 5 years of Invesco S&P 500 Low Volatility ETF is 545 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 545 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 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 time in days below previous high water mark of 170 days in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (124 days)
• Looking at average time in days below previous high water mark in of 216 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (179 days).