Description

Invesco Solar ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (62.4%) in the period of the last 5 years, the total return, or performance of 4.8% of Invesco Solar ETF is lower, thus worse.
  • Looking at total return in of 105.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (39.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 0.9% of Invesco Solar ETF is lower, thus worse.
  • During the last 3 years, the annual performance (CAGR) is 27.2%, which is higher, thus better than the value of 11.7% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 28.8% in the last 5 years of Invesco Solar ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at 30 days standard deviation in of 25% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.2%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the downside risk of 20.6% of Invesco Solar ETF is greater, thus worse.
  • Looking at downside deviation in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.8%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.57) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.05 of Invesco Solar ETF is lower, thus worse.
  • Looking at Sharpe Ratio in of 0.99 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.69).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the downside risk / excess return profile of -0.08 of Invesco Solar ETF is smaller, thus worse.
  • During the last 3 years, the downside risk / excess return profile is 1.48, which is higher, thus better than the value of 0.94 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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 48 in the last 5 years of Invesco Solar ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.98 )
  • Looking at Ulcer Index in of 12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.12 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Invesco Solar ETF is -65.2 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -34.3 days, which is lower, thus worse than the value of -19.3 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 1219 days of Invesco Solar ETF is higher, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 260 days is greater, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of 598 days of Invesco Solar ETF is larger, thus worse.
  • Compared with SPY (37 days) in the period of the last 3 years, the average days under water of 66 days is higher, thus worse.

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 Solar 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.