'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 (97.7%) in the period of the last 5 years, the total return, or increase in value of -13.1% of SPDR DJ Wilshire Intl Real Estate is smaller, thus worse.
- Looking at total return, or increase in value in of -22.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26%).

'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.'

Which means for our asset as example:- Looking at the compounded annual growth rate (CAGR) of -2.8% in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (14.6%)
- Looking at annual performance (CAGR) in of -8.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (8%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:- The volatility over 5 years of SPDR DJ Wilshire Intl Real Estate is 19.6%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the 30 days standard deviation is 17%, which is lower, thus better than the value of 17.5% 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.'

Which means for our asset as example:- The downside deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is 14.5%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
- Looking at downside volatility in of 11.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

'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 -0.27 in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
- During the last 3 years, the Sharpe Ratio is -0.62, which is lower, thus worse than the value of 0.32 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of SPDR DJ Wilshire Intl Real Estate is -0.36, which is lower, thus worse compared to the benchmark SPY (0.81) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is -0.89, which is lower, thus worse than the value of 0.45 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 20 in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.32 )
- Looking at Downside risk index in of 23 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

'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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -43.4 days in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum DrawDown in of -35.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 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:- The maximum days below previous high over 5 years of SPDR DJ Wilshire Intl Real Estate is 757 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 736 days is greater, thus worse.

'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 below previous high of 280 days in the last 5 years of SPDR DJ Wilshire Intl Real Estate, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
- During the last 3 years, the average days below previous high is 362 days, which is larger, thus worse than the value of 179 days from the benchmark.

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 DJ Wilshire Intl Real Estate are hypothetical and do not account for slippage, fees or taxes.