Invesco S&P Global Water Index ETF

10-Year Study

CGW.US · · US · ETF

Executive Summary: Invesco S&P Global Water Index ETF has compounded at 10.3% annually over the last 10 years, with a maximum drawdown of 32.3% and an annualized volatility of 21.4%.

1Y CAGR
+10.5%
3Y CAGR
+13.2%
5Y CAGR
+6.1%
10Y CAGR
+10.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
32.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.47
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.64
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +34.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -22.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.04.7-6.73.0————————4.5%
20251.90.50.45.83.62.4-0.63.30.0-0.81.2-0.718.1%
2024-3.94.44.5-1.34.8-3.77.60.72.2-5.53.1-7.14.5%
20238.1-3.32.3-0.3-2.66.22.8-4.7-7.6-2.511.46.515.5%
2022-11.0-4.31.5-8.1-0.2-8.210.9-6.1-10.611.07.5-3.5-22.0%
20210.40.44.25.92.90.16.63.9-6.05.8-1.25.631.7%
20201.4-7.5-14.17.54.20.66.52.81.10.58.85.015.4%
20198.24.11.12.7-3.97.1-0.90.62.53.50.64.834.0%
20180.6-6.01.4-0.10.2-1.95.20.1-1.0-7.64.2-5.2-10.5%
20174.01.73.33.32.0-0.42.50.02.92.12.80.127.1%
2016———4.20.91.51.3-0.21.9-5.1-1.50.12.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 21.4%. The dominant macroeconomic risk driver is SHV.US, accounting for 45.3% of variance. Idiosyncratic stock-specific factors contribute 5.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110416.338462445714
2016-05-0110512.461931820575
2016-06-0110672.569428356002
2016-07-0110807.824669443942
2016-08-0110790.0068659621
2016-09-0110999.987363259943
2016-10-0110437.69455314381
2016-11-0110281.125343824635
2016-12-0110292.624777277455
2017-01-0110701.423318155203
2017-02-0110882.339313319544
2017-03-0111240.506649031395
2017-04-0111616.744523026246
2017-05-0111851.914255506459
2017-06-0111801.2409278737
2017-07-0112101.531994119703
2017-08-0112105.154526269675
2017-09-0112452.454265531605
2017-10-0112709.317068444796
2017-11-0113067.484404156645
2017-12-0113079.826286946667
2018-01-0113160.785668251876
2018-02-0112365.850473667138
2018-03-0112542.512099678604
2018-04-0112535.14066797808
2018-05-0112560.91961769649
2018-06-0112325.370783014536
2018-07-0112962.051869605692
2018-08-0112973.13007838991
2018-09-0112836.948143031048
2018-10-0111865.351322434848
2018-11-0112358.479041966615
2018-12-0111710.045787121477
2019-01-0112665.214845642218
2019-02-0113180.372615341845
2019-03-0113319.503123380915
2019-04-0113680.534786839256
2019-05-0113142.757252435731
2019-06-0114079.139690736849
2019-07-0113951.255881349434
2019-08-0114041.524327830735
2019-09-0114387.47614815314
2019-10-0114891.387219201106
2019-11-0114977.864643664989
2019-12-0115696.600295699718
2020-01-0115921.744881067212
2020-02-0114731.069110331377
2020-03-0112654.979086195202
2020-04-0113609.052960577583
2020-05-0114181.49728520701
2020-06-0114265.447361659288
2020-07-0115189.024570034917
2020-08-0115612.65021924744
2020-09-0115780.550372151996
2020-10-0115856.876282102583
2020-11-0117257.490427669403
2020-12-0118115.946302279248
2021-01-0118181.7415955148
2021-02-0118263.037956554886
2021-03-0119021.747829639895
2021-04-0120152.062105365138
2021-05-0120744.303989418837
2021-06-0120767.513468658777
2021-07-0122141.716827504286
2021-08-0123001.05727391819
2021-09-0121615.27023668614
2021-10-0122861.674031077953
2021-11-0122598.450735668885
2021-12-0123858.71282165769
2022-01-0121245.814079855772
2022-02-0120324.97483182605
2022-03-0120627.961735951103
2022-04-0118955.53131173574
2022-05-0118920.148439573215
2022-06-0117369.704679384842
2022-07-0119262.477727745645
2022-08-0118081.953471523106
2022-09-0116157.67281795091
2022-10-0117936.33610358757
2022-11-0119290.025821072184
2022-12-0118610.92741035286
2023-01-0120115.92102879913
2023-02-0119457.20989204012
2023-03-0119904.3398777606
2023-04-0119836.4805836489
2023-05-0119329.494572520143
2023-06-0120523.11891593619
2023-07-0121093.962586824935
2023-08-0120095.95497950742
2023-09-0118570.995311769435
2023-10-0118103.941399224102
2023-11-0120175.777054207403
2023-12-0121496.35851273994
2024-01-0120652.898236332312
2024-02-0121557.183354885994
2024-03-0122518.249558767162
2024-04-0122222.25498414089
2024-05-0123288.75372257301
2024-06-0122420.946660320213
2024-07-0124124.084362876627
2024-08-0124282.25422593649
2024-09-0124817.54653479526
2024-10-0123455.011099270014
2024-11-0124184.90920502268
2024-12-0122474.18945843144
2025-01-0122892.971023955044
2025-02-0122996.634414897875
2025-03-0123092.04180233611
2025-04-0124427.19763440226
2025-05-0125310.421519525866
2025-06-0125915.805613239936
2025-07-0125766.52359068756
2025-08-0126629.02322211598
2025-09-0126637.32134808743
2025-10-0126425.824441982622
2025-11-0126736.8146148111
2025-12-0126541.36636858001
2026-01-0127590.21579339772
2026-02-0128874.95103263227
2026-03-0126933.105310379393
2026-04-0127729.219934036213
Annual Return Matrix
YearAnnual Return
20170.2707959893595253
2018-0.1047246706320708
20190.3404388489208634
20200.15413184772516253
20210.3170006370937364
2022-0.2199525787720269
20230.1550396194002659
20240.04548821350890586
20250.18097101644850278
20260.04475480082526584
Total Factor Risk
0.21365386595636587
VTI.US Exposure
-0.16328266621883333
VEA.US Exposure
0.14611008089646188
VWO.US Exposure
0.000574912601623599
QQQ.US Exposure
0.1004005312589537
VTV.US Exposure
0.10863039592882329
IJR.US Exposure
0.07535810904215487
QUAL.US Exposure
0.02907215379054727
SHV.US Exposure
0.45325872943868367
TLT.US Exposure
-0.03354932386658937
LQD.US Exposure
0.043500644982963875
HYG.US Exposure
0.05660673913768555
GLD.US Exposure
0.003029688702725979
USO.US Exposure
0.015179987731645472
VNQ.US Exposure
0.08378428929776979
BTC-USD.CC Exposure
0.009629695534231621
CPER.US Exposure
-0.00778717601609988
VIX.INDX Exposure
-0.01665986793472731
UUP.US Exposure
0.020520548052803112
TIP.US Exposure
0.01761691873248836
Idiosyncratic Exposure
0.058005608906687815
Value Score
42.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
17.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
21.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →18.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.45%
Market Cap$10.4B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
4.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.07
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Invesco S&P Global Water Index ETF a high-risk investment?

Invesco S&P Global Water Index ETF (CGW.US) has an annualized volatility of 21.4% and experienced a maximum drawdown of 32.3% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of CGW.US?

Over the past 10 years, CGW.US has generated a Compound Annual Growth Rate (CAGR) of 10.3%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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