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.'

• The total return, or increase in value over 5 years of Invesco S&P 500 Low Volatility ETF is 46.4%, which is lower, thus worse compared to the benchmark SPY (67.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 36%, which is smaller, thus worse than the value of 61.5% 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 7.9% 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 (10.8%)
• During the last 3 years, the annual performance (CAGR) is 10.8%, which is smaller, thus worse than the value of 17.3% from the benchmark.

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the volatility of 19.1% of Invesco S&P 500 Low Volatility ETF is smaller, thus better.
• Looking at volatility in of 16.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (20%).

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 13.8% 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 (15.4%)
• During the last 3 years, the downside deviation is 11.4%, which is smaller, thus better than the value of 13.9% 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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the Sharpe Ratio of 0.28 of Invesco S&P 500 Low Volatility ETF is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.51, which is smaller, thus worse than the value of 0.74 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.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.39 of Invesco S&P 500 Low Volatility ETF is smaller, thus worse.
• Looking at downside risk / excess return profile in of 0.73 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.06).

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.'

• Compared with the benchmark SPY (9.21 ) in the period of the last 5 years, the Downside risk index of 8.11 of Invesco S&P 500 Low Volatility ETF is smaller, thus better.
• Looking at Ulcer Index in of 5.72 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.87 ).

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.'

• Looking at the maximum drop from peak to valley of -36.3 days 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 (-33.7 days)
• Looking at maximum reduction from previous high in of -17.3 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 days).

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.'

• The maximum days under water over 5 years of Invesco S&P 500 Low Volatility ETF is 296 days, which is lower, thus better compared to the benchmark SPY (311 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 237 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (311 days).

AveDuration:

'The Average 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. 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 73 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 (66 days)
• Looking at average time in days below previous high water mark in of 53 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (82 days).