Fund Performance Analysis

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Fund Information (Sep 2015 - Feb 2020)

Fund information
NameInvesco S&P 500 Equal Wt Real Estt ETF (EWRE)
Asset ClassSector Equity
CategoryReal Estate
Fund BenchmarkS&P 500 EqualWeighted Real Estate TR USD
Selected BenchmarkVanguard Real Estate ETF (VNQ)
Price/Earnings (TTM)31.84
Yield (SEC)3.38%
Yield (TTM)3.81%
Assets21.28 M
Expense Ratio0.40%
Inception Date08/12/2015

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Invesco S&P 500 Equal Wt Real Estt ETF$10,000$13,910 7.61% 14.49%24.30%-6.87%-12.28% 0.490.850.60
Vanguard Real Estate ETF$10,000$14,322 8.31% 13.40%28.87%-6.02%-14.88% 0.570.940.59
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 yearFull3 year
Invesco S&P 500 Equal Wt Real Estt ETF-6.40%2.74%5.06%7.61%12.18%
Vanguard Real Estate ETF-5.17%7.69%5.00%8.31%12.84%
Trailing annualized return and volatility 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

Up vs. Down Market Performance

Invesco S&P 500 Equal Wt Real Estt ETF vs. Vanguard Real Estate ETF

Up vs. Down Market Performance - Invesco S&P 500 Equal Wt Real Estt ETF vs. Vanguard Real Estate ETF
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market11203135%1.35%-0.72%0.02%
Down Market11122348%0.88%-1.05%-0.12%
Total22325441%1.12%-0.84%-0.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Real Estate ETF
Large-cap Value10.74%
Large-cap Growth0.00%
Mid-cap Value46.28%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries42.98%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared56.71%
Style analysis is based on monthly returns from September 2015 to February 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Invesco S&P 500 Equal Wt Real Estt ETF

Holdings Based Style Analysis for Invesco S&P 500 Equal Wt Real Estt ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
EWREInvesco S&P 500 Equal Wt Real Estt ETFReal Estate100.00%3.38%0.40%31.84$3,910100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Real Estate ETF

Holdings Based Style Analysis for Vanguard Real Estate ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VNQVanguard Real Estate ETFReal Estate100.00%3.93%0.12%35.08$4,322100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricInvesco S&P 500 Equal Wt Real Estt ETFVanguard Real Estate ETF
Arithmetic Mean (monthly)0.70%0.74%
Arithmetic Mean (annualized)8.70%9.25%
Geometric Mean (monthly)0.61%0.67%
Geometric Mean (annualized)7.61%8.31%
Volatility (monthly)4.18%3.87%
Volatility (annualized)14.49%13.40%
Downside Deviation (monthly)2.40%2.30%
Max. Drawdown-12.28%-14.88%
US Market Correlation0.600.59
Beta(*)1.021.00
Alpha (annualized)-0.65%-0.00%
R288.27%100.00%
Sharpe Ratio0.490.57
Sortino Ratio0.850.94
Treynor Ratio (%)7.057.67
Calmar Ratio0.510.43
Active Return-0.70%N/A
Tracking Error4.96%N/A
Information Ratio-0.14N/A
Skewness0.470.19
Excess Kurtosis1.101.14
Historical Value-at-Risk (5%)-6.69%-6.19%
Analytical Value-at-Risk (5%)-6.18%-5.62%
Conditional Value-at-Risk (5%)-7.31%-7.55%
Upside Capture Ratio (%)100.08100.00
Downside Capture Ratio (%)104.63100.00
Safe Withdrawal Rate23.86%23.98%
Perpetual Withdrawal Rate4.84%5.39%
Positive Periods31 out of 54 (57.41%)31 out of 54 (57.41%)
Gain/Loss Ratio1.191.25
* Vanguard Real Estate ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Invesco S&P 500 Equal Wt Real Estt ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20150.01%9.54%-4.20%6.64%11.92%
2016-6.88%-2.55%12.43%-0.44%0.39%6.89%2.95%-3.52%-1.89%-6.01%-1.40%4.55%2.91%
2017-0.32%4.50%-1.58%-0.51%0.07%1.85%1.44%0.36%-0.96%-0.26%4.50%-0.45%8.76%
2018-3.19%-6.58%3.34%0.37%2.38%4.60%0.43%2.78%-2.92%-1.46%4.44%-7.41%-4.08%
201911.60%0.97%2.88%-0.86%-0.06%1.61%1.58%3.07%2.28%0.38%-1.41%0.50%24.30%
20200.85%-7.65%-6.87%

Vanguard Real Estate ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20153.05%5.76%-0.63%1.82%10.27%
2016-3.44%-0.36%10.48%-2.35%2.25%6.92%4.26%-3.76%-1.82%-5.74%-1.68%4.82%8.60%
2017-0.19%3.51%-2.42%0.24%-0.72%2.23%1.24%-0.26%-0.11%-1.07%2.66%-0.14%4.91%
2018-4.25%-7.68%3.88%0.82%3.68%4.20%0.60%2.58%-2.64%-2.93%4.67%-7.96%-6.02%
201911.85%0.70%4.21%-0.16%0.14%1.54%1.70%3.75%1.93%1.13%-1.30%0.76%28.87%
20201.23%-7.03%-5.88%