Fund Performance Analysis

Select mutual fund or ETF for analysis. You can also choose the benchmark to compare the fund against.

Fund Information (Dec 2018 - Feb 2020)

Fund information
NameInvesco S&P 500 Eql Wght Comm Svcs ETF (EWCO)
Asset ClassSector Equity
CategoryCommunications
Fund BenchmarkS&P 500 Eql Wgt Cmict Srvs+ USD
Selected BenchmarkVanguard Communication Services ETF (VOX)
Price/Earnings (TTM)19.50
Yield (TTM)1.05%
Assets23.74 M
Expense Ratio0.40%
Inception Date11/07/2018

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Invesco S&P 500 Eql Wght Comm Svcs ETF$10,000$9,845 -1.24% 19.52%21.85%-11.14%-11.14% -0.08-0.110.95
Vanguard Communication Services ETF$10,000$11,150 9.10% 16.89%28.02%-8.28%-8.28% 0.480.740.94
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Invesco S&P 500 Eql Wght Comm Svcs ETF-6.72%0.73%-1.24%
Vanguard Communication Services ETF-2.92%9.55%9.10%
Trailing annualized returns are for full months ending in February 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 01/25/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Holdings Based Style Analysis for Invesco S&P 500 Eql Wght Comm Svcs ETF

Holdings Based Style Analysis for Invesco S&P 500 Eql Wght Comm Svcs ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
EWCOInvesco S&P 500 Eql Wght Comm Svcs ETFCommunications100.00%1.05%0.40%19.50-$155100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Communication Services ETF

Holdings Based Style Analysis for Vanguard Communication Services ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VOXVanguard Communication Services ETFCommunications100.00%0.70%0.10%27.82$1,150100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricInvesco S&P 500 Eql Wght Comm Svcs ETFVanguard Communication Services ETF
Arithmetic Mean (monthly)0.04%0.84%
Arithmetic Mean (annualized)0.54%10.55%
Geometric Mean (monthly)-0.10%0.73%
Geometric Mean (annualized)-1.24%9.10%
Volatility (monthly)5.63%4.88%
Volatility (annualized)19.52%16.89%
Downside Deviation (monthly)3.87%3.05%
Max. Drawdown-11.14%-8.28%
US Market Correlation0.950.94
Beta(*)1.111.00
Alpha (annualized)-10.65%0.00%
R292.35%100.00%
Sharpe Ratio-0.080.48
Sortino Ratio-0.110.74
Treynor Ratio (%)-1.368.03
Active Return-10.34%N/A
Tracking Error5.71%N/A
Information Ratio-1.81N/A
Skewness-0.08-0.15
Excess Kurtosis0.340.21
Historical Value-at-Risk (5%)-8.66%-6.44%
Analytical Value-at-Risk (5%)-9.22%-7.18%
Conditional Value-at-Risk (5%)-11.14%-8.28%
Upside Capture Ratio (%)74.34100.00
Downside Capture Ratio (%)117.31100.00
Safe Withdrawal Rate48.46%51.15%
Perpetual Withdrawal Rate0.00%4.06%
Positive Periods8 out of 15 (53.33%)10 out of 15 (66.67%)
Gain/Loss Ratio0.890.78
* Vanguard Communication Services ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Invesco S&P 500 Eql Wght Comm Svcs ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2018-11.14%-11.14%
201910.99%-0.91%-0.54%6.41%-5.19%6.25%0.63%-3.43%0.68%0.12%3.41%2.59%21.85%
2020-1.60%-7.59%-9.07%

Vanguard Communication Services ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2018-8.28%-8.28%
201910.56%0.37%1.79%6.06%-5.66%3.94%3.43%-2.78%-0.26%3.00%3.19%2.24%28.02%
20200.62%-5.63%-5.05%