'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:- Compared with the benchmark SPY (109.2%) in the period of the last 5 years, the total return, or performance of % of Goldman Sachs Innovate Equity ETF is lower, thus worse.
- Compared with SPY (33.3%) in the period of the last 3 years, the total return, or performance of -0.8% is smaller, thus worse.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of % of Goldman Sachs Innovate Equity ETF is smaller, thus worse.
- Looking at compounded annual growth rate (CAGR) in of -0.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of % in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (20.9%)
- During the last 3 years, the volatility is 23%, which is larger, thus worse 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.'

Which means for our asset as example:- The downside risk over 5 years of Goldman Sachs Innovate Equity ETF is %, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
- During the last 3 years, the downside deviation is 16.2%, which is larger, thus worse than the value of 12.3% from the benchmark.

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.64)
- During the last 3 years, the risk / return profile (Sharpe) is -0.12, which is lower, thus worse than the value of 0.43 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.9) in the period of the last 5 years, the excess return divided by the downside deviation of of Goldman Sachs Innovate Equity ETF is lower, thus worse.
- During the last 3 years, the ratio of annual return and downside deviation is -0.17, 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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of Goldman Sachs Innovate Equity ETF is , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
- Looking at Ulcer Ratio in of 24 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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:- Looking at the maximum reduction from previous high of days in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -41.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of days in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum time in days below previous high water mark is 755 days, which is larger, thus worse than the value of 488 days from the benchmark.

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of days in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (123 days)
- Compared with SPY (176 days) in the period of the last 3 years, the average days below previous high of 378 days is larger, thus worse.

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 Goldman Sachs Innovate Equity ETF are hypothetical and do not account for slippage, fees or taxes.