SPDR High Yield Bond ETF (JNK)

TotalReturn:

'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.'

• Compared with the benchmark SPY (92.6%) in the period of the last 5 years, the total return of 19.9% of SPDR High Yield Bond ETF is smaller, thus worse.
• Looking at total return, or increase in value in of 27.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (76.4%).

CAGR:

'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.'

• Looking at the annual performance (CAGR) of 3.7% 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 (14.1%)
• Looking at compounded annual growth rate (CAGR) in of 8.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.9%).

Volatility:

'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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 7.9% of SPDR High Yield Bond ETF is lower, thus better.
• Looking at historical 30 days volatility in of 6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.2%).

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 5.4% 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 (11.8%)
• Looking at downside volatility in of 3.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.2%).

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of SPDR High Yield Bond ETF is 0.15, which is lower, thus worse compared to the benchmark SPY (0.67) in the same period.
• Looking at Sharpe Ratio in of 1.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.21).

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.'

• Compared with the benchmark SPY (0.98) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.22 of SPDR High Yield Bond ETF is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 1.53, which is lower, thus worse than the value of 1.8 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.'

• Looking at the Downside risk index of 6.08 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 (8.45 )
• Compared with SPY (3.51 ) in the period of the last 3 years, the Ulcer Ratio of 1.14 is lower, thus better.

MaxDD:

'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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -16.7 days of SPDR High Yield Bond ETF is higher, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -5.5 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.'

• Looking at the maximum days below previous high of 559 days in the last 5 years of SPDR High Yield Bond ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 62 days is smaller, thus better.

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.'

• The average days under water over 5 years of SPDR High Yield Bond ETF is 144 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days under water is 14 days, which is lower, thus better than the value of 20 days from the benchmark.