'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of SPDR Dow Jones Industrial Average ETF is 74.8%, which is lower, thus worse compared to the benchmark SPY (109.2%) in the same period.
- During the last 3 years, the total return, or increase in value is 27.8%, which is lower, thus worse than the value of 33.3% from the benchmark.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 11.8% in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.9%)
- During the last 3 years, the annual performance (CAGR) is 8.5%, which is lower, thus worse than the value of 10.1% from the benchmark.

'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.'

Which means for our asset as example:- The volatility over 5 years of SPDR Dow Jones Industrial Average ETF is 20.6%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the 30 days standard deviation is 14.8%, which is lower, thus better than the value of 17.6% from the benchmark.

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:- Looking at the downside deviation of 14.7% in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.9%)
- Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 10.3% is lower, thus better.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of SPDR Dow Jones Industrial Average ETF is 0.45, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
- Looking at Sharpe Ratio in of 0.41 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.43).

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.9) in the period of the last 5 years, the excess return divided by the downside deviation of 0.63 of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
- During the last 3 years, the downside risk / excess return profile is 0.58, which is smaller, thus worse than the value of 0.62 from the benchmark.

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:- The Ulcer Ratio over 5 years of SPDR Dow Jones Industrial Average ETF is 7.68 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
- During the last 3 years, the Downside risk index is 7.09 , which is lower, thus better than the value of 10 from the benchmark.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of SPDR Dow Jones Industrial Average ETF is -36.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -20.8 days is greater, thus better.

'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) in days.'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of SPDR Dow Jones Industrial Average ETF is 477 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 477 days is lower, thus better.

'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.'

Which means for our asset as example:- Looking at the average days under water of 123 days in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
- During the last 3 years, the average time in days below previous high water mark is 169 days, which is lower, thus better than the value of 176 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of SPDR Dow Jones Industrial Average ETF are hypothetical and do not account for slippage, fees or taxes.