'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- The total return, or performance over 5 years of SPDR High Yield Bond ETF is 5%, which is lower, thus worse compared to the benchmark SPY (62.7%) in the same period.
- During the last 3 years, the total return, or increase in value is -2.7%, which is lower, thus worse than the value of 34.7% from the benchmark.

'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 (10.2%) in the period of the last 5 years, the annual return (CAGR) of 1% of SPDR High Yield Bond ETF is lower, thus worse.
- Compared with SPY (10.5%) in the period of the last 3 years, the annual performance (CAGR) of -0.9% is smaller, thus worse.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of SPDR High Yield Bond ETF is 9.8%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the historical 30 days volatility is 12.1%, which is lower, thus better than the value of 24.1% 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.'

Using this definition on our asset we see for example:- The downside risk over 5 years of SPDR High Yield Bond ETF is 7.1%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside risk in of 8.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.6%).

'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.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of -0.15 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 (0.37)
- Looking at risk / return profile (Sharpe) in of -0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.33).

'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.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of SPDR High Yield Bond ETF is -0.21, which is lower, thus worse compared to the benchmark SPY (0.51) in the same period.
- Compared with SPY (0.45) in the period of the last 3 years, the downside risk / excess return profile of -0.39 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.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 4.76 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 (7.71 )
- During the last 3 years, the Downside risk index is 6.01 , which is smaller, thus better than the value of 9.08 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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of SPDR High Yield Bond ETF is -22.9 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -22.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (189 days) in the period of the last 5 years, the maximum days below previous high of 194 days of SPDR High Yield Bond ETF is higher, thus worse.
- During the last 3 years, the maximum days below previous high is 194 days, which is greater, thus worse than the value of 189 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The average days below previous high over 5 years of SPDR High Yield Bond ETF is 51 days, which is higher, thus worse compared to the benchmark SPY (46 days) in the same period.
- Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 60 days is higher, 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 SPDR High Yield Bond ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.