'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.'

Which means for our asset as example:- Looking at the total return, or increase in value of 88.8% in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (109.2%)
- During the last 3 years, the total return is 39.6%, which is higher, thus better than the value of 33.3% from the benchmark.

'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 return (CAGR) of 13.6% in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.9%)
- During the last 3 years, the annual return (CAGR) is 11.8%, which is larger, thus better than the value of 10.1% from the benchmark.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of SPDR Select Sector Fund - Industrial is 23.1%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 17.3% is lower, thus better.

'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:- Looking at the downside risk of 16.3% in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
- Looking at downside risk in of 11.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.3%).

'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:- The Sharpe Ratio over 5 years of SPDR Select Sector Fund - Industrial is 0.48, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.54, which is greater, thus better than the value of 0.43 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Industrial is 0.68, which is lower, thus worse compared to the benchmark SPY (0.9) in the same period.
- During the last 3 years, the downside risk / excess return profile is 0.78, which is higher, thus better than the value of 0.62 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:- The Downside risk index over 5 years of SPDR Select Sector Fund - Industrial is 9.16 , which is smaller, thus better compared to the benchmark SPY (9.32 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 7.25 is lower, thus better.

'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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -42.3 days of SPDR Select Sector Fund - Industrial is lower, thus worse.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -21.6 days is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 362 days in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
- Looking at maximum days below previous high in of 362 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 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.'

Which means for our asset as example:- The average time in days below previous high water mark over 5 years of SPDR Select Sector Fund - Industrial is 84 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
- Compared with SPY (176 days) in the period of the last 3 years, the average days under water of 107 days is smaller, thus better.

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 - Industrial are hypothetical and do not account for slippage, fees or taxes.