'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.'

Which means for our asset as example:- Compared with the benchmark SPY (109.2%) in the period of the last 5 years, the total return, or increase in value of 20.1% of Invesco DB USD Index Bullish Fund ETF is smaller, thus worse.
- Looking at total return, or increase in value in of 25.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.3%).

'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.'

Which means for our asset as example:- Looking at the annual return (CAGR) of 3.7% in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.9%)
- Looking at compounded annual growth rate (CAGR) in of 7.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

'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.'

Which means for our asset as example:- Looking at the volatility of 7.4% 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 (20.9%)
- Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 7.5% is lower, thus better.

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

Which means for our asset as example:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside risk of 5.1% of Invesco DB USD Index Bullish Fund ETF is smaller, thus better.
- Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 5.2% is smaller, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.64) in the period of the last 5 years, the Sharpe Ratio of 0.17 of Invesco DB USD Index Bullish Fund ETF is lower, thus worse.
- Compared with SPY (0.43) in the period of the last 3 years, the Sharpe Ratio of 0.72 is greater, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of annual return and downside deviation 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 (0.9)
- Looking at downside risk / excess return profile in of 1.03 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.62).

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 7.36 in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (9.32 )
- Looking at Downside risk index in of 4.31 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'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.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of Invesco DB USD Index Bullish Fund ETF is -14.2 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -10.4 days, which is higher, thus better than the value of -24.5 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of Invesco DB USD Index Bullish Fund ETF is 562 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
- During the last 3 years, the maximum days under water is 384 days, which is lower, thus better than the value of 488 days from the benchmark.

'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:- Looking at the average days below previous high of 196 days in the last 5 years of Invesco DB USD Index Bullish Fund ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
- Compared with SPY (176 days) in the period of the last 3 years, the average time in days below previous high water mark of 115 days is lower, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Invesco DB USD Index Bullish Fund ETF are hypothetical and do not account for slippage, fees or taxes.