Fund Performance Analysis

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Fund Information (Dec 2006 - Feb 2020)

Fund information
NameInvesco S&P 500 Equal Weight Utilts ETF (RYU)
Asset ClassSector Equity
CategoryUtilities
Fund BenchmarkS&P 500 Equal Weighted Util&Teles TR USD
Selected BenchmarkVanguard Utilities ETF (VPU)
Price/Earnings (TTM)15.69
Yield (SEC)3.02%
Yield (TTM)2.94%
Assets221.38 M
Expense Ratio0.40%
Inception Date11/01/2006

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Invesco S&P 500 Equal Weight Utilts ETF$10,000$28,491 8.22% 13.26%28.14%-30.70%-39.45% 0.590.840.59
Vanguard Utilities ETF$10,000$28,041 8.09% 13.43%26.99%-27.94%-38.13% 0.580.810.51
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Invesco S&P 500 Equal Weight Utilts ETF-2.09%9.00%8.80%9.07%12.21%8.22%11.47%11.79%
Vanguard Utilities ETF-1.53%10.68%9.65%10.27%12.10%8.09%11.87%12.34%
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 Weight Utilts ETF vs. Vanguard Utilities ETF

Up vs. Down Market Performance - Invesco S&P 500 Equal Weight Utilts ETF vs. Vanguard Utilities ETF
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market426110341%0.98%-0.89%-0.13%
Down Market33235659%1.00%-0.81%0.26%
Total758415947%0.99%-0.87%0.01%

Holdings Based Style Analysis for Invesco S&P 500 Equal Weight Utilts ETF

Holdings Based Style Analysis for Invesco S&P 500 Equal Weight Utilts ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
RYUInvesco S&P 500 Equal Weight Utilts ETFUtilities100.00%3.02%0.40%15.69$18,491100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Utilities ETF

Holdings Based Style Analysis for Vanguard Utilities ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VPUVanguard Utilities ETFUtilities100.00%3.11%0.10%21.58$18,041100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricInvesco S&P 500 Equal Weight Utilts ETFVanguard Utilities ETF
Arithmetic Mean (monthly)0.73%0.73%
Arithmetic Mean (annualized)9.18%9.08%
Geometric Mean (monthly)0.66%0.65%
Geometric Mean (annualized)8.22%8.09%
Volatility (monthly)3.83%3.88%
Volatility (annualized)13.26%13.43%
Downside Deviation (monthly)2.66%2.73%
Max. Drawdown-39.45%-38.13%
US Market Correlation0.590.51
Beta(*)0.931.00
Alpha (annualized)0.69%0.00%
R289.02%100.00%
Sharpe Ratio0.590.58
Sortino Ratio0.840.81
Treynor Ratio (%)8.467.78
Calmar Ratio0.820.77
Active Return0.13%N/A
Tracking Error4.49%N/A
Information Ratio0.03N/A
Skewness-0.93-0.94
Excess Kurtosis1.271.15
Historical Value-at-Risk (5%)-5.69%-6.10%
Analytical Value-at-Risk (5%)-5.56%-5.65%
Conditional Value-at-Risk (5%)-9.13%-9.24%
Upside Capture Ratio (%)95.15100.00
Downside Capture Ratio (%)93.07100.00
Safe Withdrawal Rate8.92%8.74%
Perpetual Withdrawal Rate5.53%5.43%
Positive Periods101 out of 159 (63.52%)103 out of 159 (64.78%)
Gain/Loss Ratio0.930.87
* Vanguard Utilities ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Invesco S&P 500 Equal Weight Utilts ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20063.72%3.72%
20070.12%3.57%3.33%3.64%2.09%-4.97%-4.20%1.92%4.00%1.80%-1.11%-0.15%9.97%
2008-7.26%-6.15%-0.68%6.53%5.37%-4.92%-2.22%0.81%-12.25%-13.20%-3.10%3.23%-30.70%
2009-0.34%-9.60%0.11%4.13%4.36%5.09%4.58%-0.21%3.56%-2.51%3.81%7.20%20.78%
2010-5.65%-0.05%3.61%3.14%-4.80%-0.50%6.82%0.68%5.46%1.17%-1.49%4.42%12.66%
20110.65%0.72%2.12%3.85%2.09%-0.81%-2.34%0.41%-1.39%3.39%0.31%2.99%12.45%
2012-3.67%2.26%0.64%1.08%-1.07%5.13%5.67%-1.90%3.10%0.41%-3.34%-0.81%7.26%
20135.41%1.49%4.73%6.61%-7.83%0.58%4.45%-5.07%0.90%4.44%-2.21%1.01%14.29%
20141.44%3.72%3.95%4.93%-0.18%4.21%-4.75%4.33%-2.10%6.96%1.16%1.96%28.14%
20151.57%-4.34%-1.52%0.16%-0.15%-5.56%4.69%-3.00%1.63%3.31%-2.05%1.67%-4.04%
20163.44%3.54%8.17%-1.85%1.09%6.72%-0.48%-6.08%-0.06%0.04%-4.06%4.53%14.98%
20171.91%3.58%-0.49%1.08%2.89%-2.49%3.61%1.90%-2.95%2.70%2.75%-5.00%9.42%
2018-2.70%-3.31%3.36%2.47%-1.21%2.84%1.75%1.83%0.11%2.22%3.21%-3.49%6.92%
20192.95%3.55%3.11%0.35%-1.07%3.43%0.19%4.32%3.94%-1.20%-2.05%3.61%22.95%
20205.79%-10.66%-5.49%

Vanguard Utilities ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20060.83%0.83%
2007-0.08%4.64%4.36%3.92%1.04%-5.13%-4.16%2.88%2.76%6.46%-0.31%0.09%17.00%
2008-6.97%-3.72%0.56%5.34%3.85%-1.43%-6.30%-0.53%-11.43%-11.21%2.74%-1.47%-27.94%
2009-1.24%-12.87%2.38%1.60%3.72%5.43%4.23%0.49%1.66%-3.28%4.61%5.54%11.30%
2010-4.50%-0.96%3.00%2.99%-5.86%-0.81%7.33%1.03%3.26%1.34%-2.41%3.19%7.04%
20111.45%1.63%0.78%3.88%1.55%-0.28%-1.11%1.80%-0.43%3.97%1.06%3.33%18.96%
2012-3.60%0.63%1.29%1.75%0.17%3.87%2.75%-3.69%1.38%1.31%-3.81%0.13%1.83%
20135.19%2.31%5.49%5.64%-8.20%0.98%4.43%-5.32%1.41%3.99%-2.06%1.18%14.88%
20142.75%3.32%3.23%3.75%-0.73%4.55%-6.95%5.15%-2.65%8.37%0.81%3.43%26.99%
20152.18%-5.94%-0.69%-0.64%0.37%-6.07%5.47%-3.60%2.71%1.95%-2.13%2.16%-4.82%
20164.69%1.78%8.17%-1.95%1.63%7.67%-0.89%-5.43%0.51%0.90%-4.54%4.81%17.60%
20171.17%4.95%-0.06%0.67%4.00%-2.37%2.65%2.90%-2.44%3.91%2.89%-5.90%12.46%
2018-3.13%-4.11%4.02%2.47%-0.31%2.42%1.67%1.15%-0.38%1.17%3.92%-4.15%4.37%
20193.72%3.88%2.83%0.86%-0.87%3.33%-0.21%4.83%4.08%-0.86%-1.98%3.11%24.87%
20206.10%-9.99%-4.50%
Rolling returns summary
Roll PeriodInvesco S&P 500 Equal Weight Utilts ETFVanguard Utilities ETF
AverageHighLowAverageHighLow
1 year9.11%30.86%-32.97%8.90%31.64%-32.12%
3 years9.90%18.92%-7.99%9.36%16.91%-8.20%
5 years10.57%18.05%0.39%10.00%16.06%0.78%
7 years10.85%16.79%5.24%10.22%14.76%4.68%
10 years9.96%14.22%6.81%9.40%13.28%6.47%