'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of SPDR Select Sector Fund - Financial is 27.9%, which is lower, thus worse compared to the benchmark SPY (68.1%) in the same period.
- Compared with SPY (47%) in the period of the last 3 years, the total return, or increase in value of 47.9% is greater, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 5.1% in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11%)
- Compared with SPY (13.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.9% is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the historical 30 days volatility of 26.9% in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
- Looking at historical 30 days volatility in of 23.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.7%).

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

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside deviation of 19% of SPDR Select Sector Fund - Financial is larger, thus worse.
- Looking at downside risk in of 15.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.3%).

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:- Looking at the ratio of return and volatility (Sharpe) of 0.1 in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.4)
- Compared with SPY (0.6) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.49 is smaller, thus worse.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the excess return divided by the downside deviation of 0.13 of SPDR Select Sector Fund - Financial is lower, thus worse.
- Compared with SPY (0.84) in the period of the last 3 years, the downside risk / excess return profile of 0.72 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of SPDR Select Sector Fund - Financial is 13 , which is greater, thus worse compared to the benchmark SPY (9.45 ) in the same period.
- Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

'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.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of SPDR Select Sector Fund - Financial is -42.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -25.8 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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 under water over 5 years of SPDR Select Sector Fund - Financial is 344 days, which is smaller, thus better compared to the benchmark SPY (351 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 344 days, which is smaller, thus better than the value of 351 days from the benchmark.

'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.'

Which means for our asset as example:- The average days below previous high over 5 years of SPDR Select Sector Fund - Financial is 96 days, which is higher, thus worse compared to the benchmark SPY (78 days) in the same period.
- Looking at average days under water in of 99 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (101 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 - Financial 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.