'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.'

Which means for our asset as example:- Looking at the total return, or increase in value of -2.1% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (125.9%)
- During the last 3 years, the total return, or performance is -35.4%, which is smaller, thus worse than the value of 44.4% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The annual return (CAGR) over 5 years of SPDR Select Sector Fund - Energy Select Sector is -0.4%, which is smaller, thus worse compared to the benchmark SPY (17.7%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of -13.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 32.5% of SPDR Select Sector Fund - Energy Select Sector is larger, thus worse.
- During the last 3 years, the historical 30 days volatility is 39%, which is larger, thus worse than the value of 22.8% 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 23.2% of SPDR Select Sector Fund - Energy Select Sector is greater, thus worse.
- During the last 3 years, the downside deviation is 28.3%, which is greater, thus worse than the value of 16.7% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Sharpe Ratio of -0.09 in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.81)
- Compared with SPY (0.46) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.41 is smaller, thus worse.

'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:- Compared with the benchmark SPY (1.12) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.13 of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is -0.57, which is lower, thus worse than the value of 0.63 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 24 of SPDR Select Sector Fund - Energy Select Sector is greater, thus worse.
- Looking at Ulcer Index in of 30 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (7.14 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:- Looking at the maximum reduction from previous high of -66.8 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum DrawDown in of -66.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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). 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 days under water of 673 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
- Looking at maximum time in days below previous high water mark in of 673 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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 (33 days) in the period of the last 5 years, the average days below previous high of 220 days of SPDR Select Sector Fund - Energy Select Sector is larger, thus worse.
- Looking at average time in days below previous high water mark in of 305 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 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 Select Sector Fund - Energy Select Sector 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.