'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 13.7%, which is smaller, thus worse compared to the benchmark SPY (94.8%) in the same period.
- Looking at total return, or increase in value in of 1.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (31.6%).

'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:- The annual performance (CAGR) over 5 years of SPDR High Yield Bond ETF is 2.6%, which is lower, thus worse compared to the benchmark SPY (14.3%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 0.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.6%).

'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.'

Applying this definition to our asset in some examples:- Looking at the 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%)
- During the last 3 years, the 30 days standard deviation is 8.8%, which is lower, thus better than the value of 17.3% from the benchmark.

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

Which means for our asset as example:- The downside deviation over 5 years of SPDR High Yield Bond ETF is 7.5%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
- Looking at downside risk in of 6.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.1%).

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:- Looking at the risk / return profile (Sharpe) of 0.01 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 (0.56)
- Compared with SPY (0.41) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.21 is smaller, thus worse.

'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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 0.01 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 (0.79)
- Compared with SPY (0.59) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.3 is smaller, 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 (9.33 ) in the period of the last 5 years, the Downside risk index of 6.65 of SPDR High Yield Bond ETF is lower, thus better.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 7.79 is smaller, thus better.

'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 drop from peak to valley of -22.9 days of SPDR High Yield Bond ETF is greater, thus better.
- During the last 3 years, the maximum DrawDown is -16.7 days, which is higher, thus better than the value of -24.5 days from the benchmark.

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- 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.
- During the last 3 years, the maximum days below previous high is 559 days, which is larger, thus worse than the value of 488 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.'

Which means for our asset as example:- Looking at the average days under water of 155 days in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
- Looking at average days under water in of 221 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 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.