'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.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of SPDR Select Sector Fund - Consumer Staples is 48.9%, which is smaller, thus worse compared to the benchmark SPY (99.9%) in the same period.
- Compared with SPY (35%) in the period of the last 3 years, the total return, or increase in value of 19.4% is lower, thus worse.

'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.'

Which means for our asset as example:- The annual return (CAGR) over 5 years of SPDR Select Sector Fund - Consumer Staples is 8.3%, which is lower, thus worse compared to the benchmark SPY (14.9%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 6.1%, which is lower, thus worse than the value of 10.5% 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.'

Using this definition on our asset we see for example:- Looking at the historical 30 days volatility of 17% in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively smaller, thus better in comparison to the benchmark SPY (20.9%)
- Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 13.5% is lower, thus better.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:- Looking at the downside deviation of 12% in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
- During the last 3 years, the downside volatility is 9.7%, which is smaller, thus better than the value of 12% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.59) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.34 of SPDR Select Sector Fund - Consumer Staples is lower, thus worse.
- Compared with SPY (0.47) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.27 is smaller, thus worse.

'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:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.48 of SPDR Select Sector Fund - Consumer Staples is smaller, thus worse.
- Looking at ratio of annual return and downside deviation in of 0.37 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.67).

'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 Downside risk index over 5 years of SPDR Select Sector Fund - Consumer Staples is 5.89 , which is smaller, thus better compared to the benchmark SPY (9.32 ) in the same period.
- During the last 3 years, the Ulcer Index is 6.38 , which is smaller, thus better 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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of SPDR Select Sector Fund - Consumer Staples is -24.5 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -16.3 days is greater, 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). 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:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 486 days of SPDR Select Sector Fund - Consumer Staples is lower, thus better.
- During the last 3 years, the maximum days below previous high is 486 days, which is smaller, thus better 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (124 days) in the period of the last 5 years, the average time in days below previous high water mark of 117 days of SPDR Select Sector Fund - Consumer Staples is smaller, thus better.
- Looking at average days under water in of 171 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (181 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 - Consumer Staples are hypothetical and do not account for slippage, fees or taxes.