'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.'

Which means for our asset as example:- Compared with the benchmark SPY (88.1%) in the period of the last 5 years, the total return of 55.6% of SPDR MidCap Trust Series I is smaller, thus worse.
- Looking at total return, or performance in of 9.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (26.1%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the annual performance (CAGR) of 9.3% of SPDR MidCap Trust Series I is smaller, thus worse.
- During the last 3 years, the annual performance (CAGR) is 3%, which is lower, thus worse than the value of 8.1% 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.'

Which means for our asset as example:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 25.3% of SPDR MidCap Trust Series I is higher, thus worse.
- Looking at historical 30 days volatility in of 20.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

'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:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 18.3% of SPDR MidCap Trust Series I is larger, thus worse.
- During the last 3 years, the downside volatility is 14.2%, which is greater, thus worse than the value of 12.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.27 of SPDR MidCap Trust Series I is smaller, thus worse.
- Looking at Sharpe Ratio in of 0.02 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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.73) in the period of the last 5 years, the downside risk / excess return profile of 0.37 of SPDR MidCap Trust Series I is smaller, thus worse.
- During the last 3 years, the downside risk / excess return profile is 0.03, which is lower, thus worse than the value of 0.46 from the benchmark.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:- The Downside risk index over 5 years of SPDR MidCap Trust Series I is 11 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 11 is larger, thus worse.

'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:- Looking at the maximum reduction from previous high of -42.2 days in the last 5 years of SPDR MidCap Trust Series I, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -23.8 days is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of SPDR MidCap Trust Series I is 560 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
- During the last 3 years, the maximum days under water is 560 days, which is greater, thus worse than the value of 488 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 156 days in the last 5 years of SPDR MidCap Trust Series I, we see it is relatively greater, thus worse in comparison to the benchmark SPY (123 days)
- Looking at average time in days below previous high water mark in of 223 days in the period of the last 3 years, we see it is relatively greater, 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 MidCap Trust Series I 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.