SPDR High Yield Bond ETF (JNK)

TotalReturn:

'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.'

• Looking at the total return of 16.8% in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80.4%)
• During the last 3 years, the total return, or performance is 1.5%, which is smaller, thus worse than the value of 30.7% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual performance (CAGR) of 3.2% in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.6%)
• Looking at annual return (CAGR) in of 0.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.4%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 10.6% in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the volatility of 8.7% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 7.5% in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.3%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 6.1% is lower, thus better.

Sharpe:

'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.'

• The Sharpe Ratio over 5 years of SPDR High Yield Bond ETF is 0.06, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.23, which is smaller, thus worse than the value of 0.39 from the benchmark.

Sortino:

'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.'

• The excess return divided by the downside deviation over 5 years of SPDR High Yield Bond ETF is 0.09, which is smaller, thus worse compared to the benchmark SPY (0.66) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.33, which is smaller, thus worse than the value of 0.56 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Ratio of 6.64 of SPDR High Yield Bond ETF is lower, thus better.
• During the last 3 years, the Ulcer Index is 7.78 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -22.9 days of SPDR High Yield Bond ETF is higher, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -16.7 days is larger, thus better.

MaxDuration:

'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.'

• Compared with the benchmark SPY (479 days) in the period of the last 5 years, the maximum days under water of 484 days of SPDR High Yield Bond ETF is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 484 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (479 days).

AveDuration:

'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.'

• Looking at the average days below previous high of 125 days in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (173 days) in the period of the last 3 years, the average days under water of 173 days is higher, thus worse.