'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.'

Using this definition on our asset we see for example:- Looking at the total return of 71.3% in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (81.9%)
- Looking at total return, or performance in of 59% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (46.1%).

'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.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of 11.4% in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
- Looking at annual performance (CAGR) in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.5%).

'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.'

Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of SPDR Select Sector Fund - Materials is 22.9%, which is higher, thus worse compared to the benchmark SPY (19.8%) in the same period.
- During the last 3 years, the 30 days standard deviation is 26.4%, which is larger, thus worse than the value of 23% from the benchmark.

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

Which means for our asset as example:- Looking at the downside risk of 16.3% in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.5%)
- Compared with SPY (16.8%) in the period of the last 3 years, the downside risk of 18.8% is higher, thus worse.

'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:- The Sharpe Ratio over 5 years of SPDR Select Sector Fund - Materials is 0.39, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.54, which is higher, thus better than the value of 0.48 from the benchmark.

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of 0.54 in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.7)
- Compared with SPY (0.65) in the period of the last 3 years, the excess return divided by the downside deviation of 0.76 is larger, thus better.

'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 Select Sector Fund - Materials is 8.47 , which is larger, thus worse compared to the benchmark SPY (6.08 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 7.28 , which is larger, thus worse than the value of 6.77 from the benchmark.

'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 drop from peak to valley of -37.3 days in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -37.1 days is smaller, thus worse.

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 621 days in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
- Looking at maximum days below previous high in of 136 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average days under water of 178 days of SPDR Select Sector Fund - Materials is greater, thus worse.
- During the last 3 years, the average days below previous high is 37 days, which is larger, thus worse than the value of 27 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 Select Sector Fund - Materials 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.