Description

The investment seeks to track the investment results (before fees and expenses) of the S&P 500® Low Volatility Index (the underlying index). The fund generally will invest at least 90% of its total assets in the securities that comprise the underlying index. Strictly in accordance with its guidelines and mandated procedures, the index provider selects 100 securities from the S&P 500® Index for inclusion in the underlying index that have the lowest realized volatility over the past 12 months as determined by S&P DJI.

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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 64% in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (121.2%)
  • Looking at total return, or increase in value in of 35.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (67.5%).

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.'

Applying this definition to our asset in some examples:
  • The annual return (CAGR) over 5 years of Invesco S&P 500 Low Volatility ETF is 10.4%, which is lower, thus worse compared to the benchmark SPY (17.2%) in the same period.
  • Compared with SPY (18.7%) in the period of the last 3 years, the annual return (CAGR) of 10.7% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 17.8% 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 (18.7%)
  • During the last 3 years, the 30 days standard deviation is 21.6%, which is lower, thus better than the value of 22.5% from the benchmark.

DownVol:

'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 (13.6%) in the period of the last 5 years, the downside deviation of 13% of Invesco S&P 500 Low Volatility ETF is smaller, thus better.
  • During the last 3 years, the downside risk is 15.7%, which is lower, thus better than the value of 16.3% from the benchmark.

Sharpe:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the Sharpe Ratio of 0.44 of Invesco S&P 500 Low Volatility ETF is lower, thus worse.
  • Compared with SPY (0.72) in the period of the last 3 years, the Sharpe Ratio of 0.38 is lower, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.08) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.61 of Invesco S&P 500 Low Volatility ETF is lower, thus worse.
  • Looking at excess return divided by the downside deviation in of 0.52 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Invesco S&P 500 Low Volatility ETF is 7.18 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • Looking at Downside risk index in of 8.93 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.83 ).

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.'

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 drop from peak to valley of -36.3 days of Invesco S&P 500 Low Volatility ETF is smaller, thus worse.
  • Looking at maximum DrawDown in of -36.3 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) in days.'

Which means for our asset as example:
  • Looking at the maximum days under water of 289 days in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 289 days is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Invesco S&P 500 Low Volatility ETF is 61 days, which is greater, thus worse compared to the benchmark SPY (33 days) in the same period.
  • Looking at average days below previous high in of 72 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Invesco S&P 500 Low Volatility 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.