Invesco S&P 500 Low Volatility ETF (SPLV)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of 59.4% in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (106.2%)
• During the last 3 years, the total return is 31%, which is smaller, thus worse than the value of 69.9% 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 performance (CAGR) of 9.8% 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 (15.6%)
• Looking at annual performance (CAGR) in of 9.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.5%).

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.'

• Looking at the 30 days standard deviation of 12.8% 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 (17.6%)
• Looking at 30 days standard deviation in of 12.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.7%).

DownVol:

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

• The downside risk over 5 years of Invesco S&P 500 Low Volatility ETF is 9.1%, which is smaller, thus better compared to the benchmark SPY (12.2%) in the same period.
• Looking at downside risk in of 8.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (11.6%).

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.'

• The Sharpe Ratio over 5 years of Invesco S&P 500 Low Volatility ETF is 0.57, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.54, which is lower, thus worse than the value of 0.96 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Invesco S&P 500 Low Volatility ETF is 0.81, which is smaller, thus worse compared to the benchmark SPY (1.08) in the same period.
• Looking at downside risk / excess return profile in of 0.79 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.46).

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 (8.48 ) in the period of the last 5 years, the Ulcer Index of 5.82 of Invesco S&P 500 Low Volatility ETF is lower, thus better.
• During the last 3 years, the Downside risk index is 4.91 , which is smaller, thus better than the value of 5.32 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -17.3 days of Invesco S&P 500 Low Volatility ETF is higher, thus better.
• During the last 3 years, the maximum reduction from previous high is -14.8 days, which is greater, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 545 days of Invesco S&P 500 Low Volatility ETF is larger, thus worse.
• During the last 3 years, the maximum days below previous high is 390 days, which is greater, thus worse than the value of 199 days from the benchmark.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 141 days of Invesco S&P 500 Low Volatility ETF is larger, thus worse.
• Looking at average time in days below previous high water mark in of 120 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (46 days).