'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:- Looking at the total return of % in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (94.9%)
- During the last 3 years, the total return is -11.6%, which is lower, thus worse than the value of 22.5% 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.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of % in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.3%)
- During the last 3 years, the annual performance (CAGR) is -4.1%, which is lower, thus worse than the value of 7% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of % of Goldman Sachs Innovate Equity ETF is smaller, thus better.
- During the last 3 years, the 30 days standard deviation is 22.8%, which is higher, thus worse than the value of 17.5% from the benchmark.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 volatility over 5 years of Goldman Sachs Innovate Equity ETF is %, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
- During the last 3 years, the downside risk is 16.2%, which is higher, 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.'

Which means for our asset as example:- Looking at the risk / return profile (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 (0.56)
- Looking at Sharpe Ratio in of -0.29 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.26).

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:- Looking at the ratio of annual return and downside deviation of in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
- Compared with SPY (0.37) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.4 is lower, thus worse.

'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:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of of Goldman Sachs Innovate Equity ETF is smaller, thus better.
- During the last 3 years, the Downside risk index is 24 , which is higher, thus worse than the value of 10 from the benchmark.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of days of Goldman Sachs Innovate Equity ETF is lower, thus worse.
- Looking at maximum DrawDown in of -41.2 days in the period of the last 3 years, we see it is relatively smaller, 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.'

Which means for our asset as example:- Looking at the maximum days under water 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)
- Looking at maximum time in days below previous high water mark in of 689 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 days).

'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.'

Using this definition on our asset we see for example:- The average days under water over 5 years of Goldman Sachs Innovate Equity ETF is days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
- Looking at average days under water in of 322 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (179 days).

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.