SPDR MidCap Trust Series I (MDY)

TotalReturn:

'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.'

• Compared with the benchmark SPY (80.9%) in the period of the last 5 years, the total return of 37.5% of SPDR MidCap Trust Series I is lower, thus worse.
• Compared with SPY (75.3%) in the period of the last 3 years, the total return of 47.4% is lower, thus worse.

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.'

• The annual performance (CAGR) over 5 years of SPDR MidCap Trust Series I is 6.6%, which is lower, thus worse compared to the benchmark SPY (12.6%) in the same period.
• Looking at annual performance (CAGR) in of 13.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.7%).

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.'

• Looking at the volatility of 19.8% 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 (17%)
• Looking at volatility in of 18% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15%).

DownVol:

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

• Looking at the downside deviation of 13.7% in the last 5 years of SPDR MidCap Trust Series I, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Looking at downside deviation in of 12.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.1%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.21 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 (0.6)
• Compared with SPY (1.21) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.63 is lower, thus worse.

Sortino:

'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.'

• Looking at the downside risk / excess return profile of 0.3 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 (0.86)
• During the last 3 years, the downside risk / excess return profile is 0.94, which is lower, thus worse than the value of 1.81 from the benchmark.

Ulcer:

'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.'

• The Downside risk index over 5 years of SPDR MidCap Trust Series I is 9.14 , which is larger, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Compared with SPY (3.41 ) in the period of the last 3 years, the Ulcer Ratio of 5.96 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of SPDR MidCap Trust Series I is -24 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -24 days is lower, thus worse.

MaxDuration:

'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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 560 days of SPDR MidCap Trust Series I is larger, thus worse.
• During the last 3 years, the maximum days below previous high is 259 days, which is greater, thus worse than the value of 87 days from the benchmark.

AveDuration:

'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.'

• Looking at the average days below previous high of 168 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 (119 days)
• During the last 3 years, the average days under water is 64 days, which is higher, thus worse than the value of 19 days from the benchmark.