'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:- Looking at the total return, or performance of 65.2% 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 (103.4%)
- Looking at total return in of 15.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.4%).

'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:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the annual return (CAGR) of 10.6% of SPDR Select Sector Fund - Financial is smaller, thus worse.
- Looking at annual return (CAGR) in of 5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

'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 volatility of 26.3% in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
- During the last 3 years, the volatility is 19.2%, which is higher, thus worse than the value of 17.3% 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 risk over 5 years of SPDR Select Sector Fund - Financial is 18.5%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
- Looking at downside risk in of 13.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of SPDR Select Sector Fund - Financial is 0.31, which is smaller, thus worse compared to the benchmark SPY (0.61) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.13, which is lower, thus worse than the value of 0.44 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.85) in the period of the last 5 years, the downside risk / excess return profile of 0.44 of SPDR Select Sector Fund - Financial is lower, thus worse.
- Compared with SPY (0.63) in the period of the last 3 years, the excess return divided by the downside deviation of 0.18 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 14 of SPDR Select Sector Fund - Financial is higher, thus worse.
- During the last 3 years, the Downside risk index is 13 , which is larger, thus worse than the value of 10 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -42.9 days of SPDR Select Sector Fund - Financial is lower, thus worse.
- Looking at maximum DrawDown in of -25.8 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). 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'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 528 days 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 (488 days)
- During the last 3 years, the maximum days under water is 528 days, which is greater, thus worse than the value of 488 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days below previous high of 148 days of SPDR Select Sector Fund - Financial is larger, thus worse.
- Compared with SPY (180 days) in the period of the last 3 years, the average time in days below previous high water mark of 198 days is higher, thus worse.

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 and do not account for slippage, fees or taxes.