Invesco Solar ETF (TAN)

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 -57.9% in the last 5 years of Invesco Solar ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (72.6%)
• Looking at total return in of 0.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (77.7%).

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.'

• Compared with the benchmark SPY (11.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -16% of Invesco Solar ETF is smaller, thus worse.
• Looking at annual performance (CAGR) in of 0.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.2%).

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.'

• The 30 days standard deviation over 5 years of Invesco Solar ETF is 40.1%, which is larger, thus worse compared to the benchmark SPY (17.3%) in the same period.
• During the last 3 years, the historical 30 days volatility is 39.5%, which is higher, thus worse than the value of 15.5% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of Invesco Solar ETF is 27.7%, which is higher, thus worse compared to the benchmark SPY (12%) in the same period.
• Looking at downside risk in of 27% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.4%).

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.'

• The risk / return profile (Sharpe) over 5 years of Invesco Solar ETF is -0.46, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.06, which is lower, thus worse than the value of 1.21 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of Invesco Solar ETF is -0.67, which is lower, thus worse compared to the benchmark SPY (0.76) in the same period.
• Looking at downside risk / excess return profile in of -0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.79).

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 (8.45 ) in the period of the last 5 years, the Ulcer Ratio of 47 of Invesco Solar ETF is greater, thus worse.
• Looking at Downside risk index in of 27 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.22 ).

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 -73.7 days of Invesco Solar ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -51.8 days is lower, thus worse.

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 days under water over 5 years of Invesco Solar ETF is 1255 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 516 days, which is larger, thus worse than the value of 87 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 (117 days) in the period of the last 5 years, the average days below previous high of 628 days of Invesco Solar ETF is larger, thus worse.
• Compared with SPY (17 days) in the period of the last 3 years, the average days below previous high of 196 days is greater, thus worse.