Description of Invesco DB USD Index Bullish Fund ETF

Invesco DB USD Index Bullish Fund ETF

Statistics of Invesco DB USD Index Bullish Fund ETF (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 23.8% 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 (66.1%)
  • Compared with SPY (46.2%) in the period of the last 3 years, the total return, or increase in value of 6.6% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of Invesco DB USD Index Bullish Fund ETF is 4.4%, which is smaller, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 2.2%, which is smaller, thus worse than the value of 13.5% 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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of Invesco DB USD Index Bullish Fund ETF is 7.3%, which is lower, thus better compared to the benchmark SPY (13.4%) in the same period.
  • Looking at volatility in of 6.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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:
  • Looking at the downside risk of 7.7% 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 (14.6%)
  • During the last 3 years, the downside risk is 6.5%, which is lower, thus better than the value of 13.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Invesco DB USD Index Bullish Fund ETF is 0.26, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.06, which is lower, thus worse than the value of 0.9 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.24 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 (0.56)
  • Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of -0.05 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Invesco DB USD Index Bullish Fund ETF is 5.82 , which is greater, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Ratio of 6.27 is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of Invesco DB USD Index Bullish Fund ETF is -13.3 days, which is larger, thus better compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -13.3 days, which is larger, thus better than the value of -19.3 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.'

Which means for our asset as example:
  • Looking at the maximum days under water of 602 days in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days under water in of 602 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days under water of 235 days of Invesco DB USD Index Bullish Fund ETF is larger, thus worse.
  • Looking at average time in days below previous high water mark in of 251 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance of Invesco DB USD Index Bullish Fund ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of Invesco DB USD Index Bullish Fund ETF
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Allocations

Returns of Invesco DB USD Index Bullish Fund ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Invesco DB USD Index Bullish Fund 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.