'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:- Compared with the benchmark SPY (101.5%) in the period of the last 5 years, the total return of 49.7% of SPDR Select Sector Fund - Consumer Staples is smaller, thus worse.
- Compared with SPY (29.7%) in the period of the last 3 years, the total return, or performance of 21.5% 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:- Compared with the benchmark SPY (15.1%) in the period of the last 5 years, the annual performance (CAGR) of 8.4% of SPDR Select Sector Fund - Consumer Staples is smaller, thus worse.
- During the last 3 years, the annual return (CAGR) is 6.7%, which is smaller, thus worse than the value of 9.1% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- Looking at the historical 30 days volatility of 16.8% 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 (20.9%)
- During the last 3 years, the historical 30 days volatility is 13.5%, which is smaller, thus better than the value of 17.6% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the downside volatility of 11.9% 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 (14.9%)
- Looking at downside deviation in of 9.7% 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 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.35 of SPDR Select Sector Fund - Consumer Staples is smaller, thus worse.
- Looking at Sharpe Ratio in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.37).

'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:- The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.5, which is lower, thus worse compared to the benchmark SPY (0.84) in the same period.
- Looking at downside risk / excess return profile in of 0.44 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.53).

'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:- Looking at the Ulcer Index of 5.9 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 (9.32 )
- During the last 3 years, the Ulcer Ratio is 6.37 , which is smaller, thus better than the value of 10 from the benchmark.

'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.'

Which means for our asset as example:- The maximum reduction from previous high 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.
- Looking at maximum drop from peak to valley in of -16.3 days in the period of the last 3 years, we see it is relatively greater, thus better 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) in days.'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of SPDR Select Sector Fund - Consumer Staples is 486 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
- Looking at maximum days under water in of 486 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

'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.'

Applying this definition to our asset in some examples:- The average days under water over 5 years of SPDR Select Sector Fund - Consumer Staples is 118 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
- Looking at average days below previous high in of 171 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (177 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.