Invesco S&P 500 Low Volatility ETF (SPLV)

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.'

• The total return over 5 years of Invesco S&P 500 Low Volatility ETF is 35%, which is lower, thus worse compared to the benchmark SPY (86.8%) in the same period.
• Compared with SPY (26.3%) in the period of the last 3 years, the total return, or performance of 13.4% is lower, thus worse.

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.'

• Looking at the annual performance (CAGR) of 6.2% in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.3%)
• Compared with SPY (8.1%) in the period of the last 3 years, the annual performance (CAGR) of 4.3% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of Invesco S&P 500 Low Volatility ETF is 18.9%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13%, which is smaller, thus better than the value of 17.3% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 13.7% of Invesco S&P 500 Low Volatility ETF is lower, thus better.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 9.2% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.52) in the period of the last 5 years, the Sharpe Ratio of 0.2 of Invesco S&P 500 Low Volatility ETF is smaller, thus worse.
• Looking at Sharpe Ratio in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.32).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 0.27 in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.72)
• Compared with SPY (0.46) in the period of the last 3 years, the downside risk / excess return profile of 0.19 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.'

• Looking at the Ulcer Index of 8.81 in the last 5 years of Invesco S&P 500 Low Volatility ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.33 )
• During the last 3 years, the Ulcer Index is 7.2 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'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.'

• The maximum DrawDown over 5 years of Invesco S&P 500 Low Volatility ETF is -36.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -17.3 days, which is higher, thus better than the value of -24.5 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 506 days of Invesco S&P 500 Low Volatility ETF is larger, thus worse.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 506 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.'

• The average time in days below previous high water mark over 5 years of Invesco S&P 500 Low Volatility ETF is 152 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average days below previous high is 184 days, which is larger, thus worse than the value of 178 days from the benchmark.