SPDR S&P 500 (SPY)

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.'

• The total return, or increase in value over 5 years of SPDR S&P 500 is 97.2%, which is larger, thus better compared to the benchmark SPY (97.2%) in the same period.
• Looking at total return, or increase in value in of 80.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (80.6%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual performance (CAGR) of 14.6% in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus better in comparison to the benchmark SPY (14.6%)
• Compared with SPY (21.8%) in the period of the last 3 years, the annual return (CAGR) of 21.8% is higher, thus better.

Volatility:

'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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 17.1% of SPDR S&P 500 is greater, thus worse.
• Looking at 30 days standard deviation in of 15.2% in the period of the last 3 years, we see it is relatively larger, thus worse 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 11.8% of SPDR S&P 500 is larger, thus worse.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside volatility of 10.2% is greater, thus worse.

Sharpe:

'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.'

• The Sharpe Ratio over 5 years of SPDR S&P 500 is 0.71, which is greater, thus better compared to the benchmark SPY (0.71) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.27 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.27).

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 excess return divided by the downside deviation of 1.03 in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.03)
• Compared with SPY (1.9) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.9 is larger, thus better.

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.'

• Looking at the Ulcer Index of 8.42 in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Index is 3.51 , which is greater, thus worse than the value of 3.51 from the benchmark.

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.'

• Looking at the maximum DrawDown of -24.5 days in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -18.8 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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 days below previous high of 488 days of SPDR S&P 500 is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 87 days is higher, thus worse.

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 120 days in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days below previous high in of 21 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).