Invesco DB USD Index Bullish Fund ETF (UUP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 18.7% 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 (145.1%)
• During the last 3 years, the total return is 21.7%, which is lower, thus worse than the value of 29.4% from the benchmark.

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 (19.7%) in the period of the last 5 years, the annual return (CAGR) of 3.5% of Invesco DB USD Index Bullish Fund ETF is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 6.8%, which is lower, thus worse than the value of 9% 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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the 30 days standard deviation of 7% of Invesco DB USD Index Bullish Fund ETF is smaller, thus better.
• Compared with SPY (17%) in the period of the last 3 years, the 30 days standard deviation of 7.7% is lower, thus better.

DownVol:

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

• Looking at the downside risk 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 (12%)
• Looking at downside deviation in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12%).

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.'

• Compared with the benchmark SPY (0.99) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.14 of Invesco DB USD Index Bullish Fund ETF is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.56, which is larger, thus better than the value of 0.38 from the benchmark.

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.'

• Compared with the benchmark SPY (1.44) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.2 of Invesco DB USD Index Bullish Fund ETF is lower, thus worse.
• Compared with SPY (0.54) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.8 is higher, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Invesco DB USD Index Bullish Fund ETF is 6.03 , which is smaller, thus better compared to the benchmark SPY (8.31 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 4.39 , which is lower, thus better than the value of 8.15 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -11.8 days of Invesco DB USD Index Bullish Fund ETF is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -10.4 days, which is greater, thus better than the value of -21.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum time in days below previous high water mark over 5 years of Invesco DB USD Index Bullish Fund ETF is 517 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 384 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (318 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 178 days of Invesco DB USD Index Bullish Fund ETF is greater, thus worse.
• Compared with SPY (86 days) in the period of the last 3 years, the average days below previous high of 117 days is higher, thus worse.