'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:- Looking at the total return of 17% 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 (97.7%)
- Looking at total return, or increase in value in of 4.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26%).

'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.'

Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of SPDR High Yield Bond ETF is 3.2%, which is lower, thus worse compared to the benchmark SPY (14.6%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 1.5%, which is smaller, thus worse than the value of 8% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the historical 30 days volatility of 10.5% 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 (20.9%)
- Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 8.9% is smaller, thus better.

'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:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 7.5% of SPDR High Yield Bond ETF is lower, thus better.
- Looking at downside volatility in of 6.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.3%).

'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:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.07 of SPDR High Yield Bond ETF is lower, thus worse.
- Looking at ratio of return and volatility (Sharpe) in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.32).

'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 (0.81) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.09 of SPDR High Yield Bond ETF is lower, thus worse.
- Looking at downside risk / excess return profile in of -0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.45).

'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.'

Which means for our asset as example:- The Downside risk index over 5 years of SPDR High Yield Bond ETF is 6.65 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
- Looking at Ulcer Index in of 7.8 in the period of the last 3 years, we see it is relatively smaller, thus better 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:- The maximum reduction from previous high over 5 years of SPDR High Yield Bond ETF is -22.9 days, which is higher, thus better 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 reduction from previous high of -16.7 days is larger, thus better.

'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:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 559 days of SPDR High Yield Bond ETF is larger, thus worse.
- Looking at maximum days under water in of 559 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 days).

'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:- The average days under water over 5 years of SPDR High Yield Bond ETF is 156 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
- During the last 3 years, the average days below previous high is 221 days, which is greater, thus worse than the value of 179 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 High Yield Bond ETF are hypothetical and do not account for slippage, fees or taxes.