Invesco DB USD Index Bullish Fund ETF (UUP)

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.'

• Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return of 18.6% of Invesco DB USD Index Bullish Fund ETF is lower, thus worse.
• Compared with SPY (44.5%) in the period of the last 3 years, the total return, or performance of 7.8% is lower, thus worse.

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.'

• Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 3.5% of Invesco DB USD Index Bullish Fund ETF is lower, thus worse.
• Compared with SPY (13.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.5% is lower, thus worse.

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.'

• Looking at the historical 30 days volatility of 7.2% in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.4%)
• During the last 3 years, the volatility is 7.3%, which is smaller, thus better than the value of 18.7% 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.'

• Looking at the downside deviation of 4.9% in the last 5 years of Invesco DB USD Index Bullish Fund 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 5.1%, which is smaller, thus better than the value of 13.3% 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.'

• Looking at the Sharpe Ratio of 0.13 in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
• Looking at ratio of return and volatility (Sharpe) in of 0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

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 downside risk / excess return profile over 5 years of Invesco DB USD Index Bullish Fund ETF is 0.2, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.01, which is lower, thus worse than the value of 0.79 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.'

• Looking at the Ulcer Ratio of 7.12 in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.47 )
• Looking at Downside risk index in of 5.5 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -14.2 days of Invesco DB USD Index Bullish Fund ETF is greater, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -10.4 days is larger, thus better.

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.'

• Compared with the benchmark SPY (354 days) in the period of the last 5 years, the maximum days below previous high of 562 days of Invesco DB USD Index Bullish Fund ETF is greater, thus worse.
• Looking at maximum days below previous high in of 444 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (354 days).

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.'

• Looking at the average time in days below previous high water mark of 153 days in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (79 days)
• Compared with SPY (102 days) in the period of the last 3 years, the average days below previous high of 159 days is larger, thus worse.