'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:- The total return, or increase in value over 5 years of SPDR Select Sector Fund - Utilities is 63.4%, which is lower, thus worse compared to the benchmark SPY (81.9%) in the same period.
- Looking at total return in of 34.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (46.1%).

'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:- Looking at the annual performance (CAGR) of 10.3% in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
- Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.5% is smaller, thus worse.

'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:- Compared with the benchmark SPY (19.8%) in the period of the last 5 years, the historical 30 days volatility of 21.1% of SPDR Select Sector Fund - Utilities is greater, thus worse.
- During the last 3 years, the volatility is 25.1%, which is greater, thus worse than the value of 23% from the benchmark.

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

Using this definition on our asset we see for example:- Looking at the downside risk of 14.7% in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.5%)
- During the last 3 years, the downside risk is 17.4%, which is larger, thus worse than the value of 16.8% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of SPDR Select Sector Fund - Utilities is smaller, thus worse.
- Looking at ratio of return and volatility (Sharpe) in of 0.32 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.48).

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of 0.53 in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.7)
- During the last 3 years, the downside risk / excess return profile is 0.46, which is smaller, thus worse than the value of 0.65 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 7.89 in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively larger, thus worse in comparison to the benchmark SPY (6.08 )
- Looking at Downside risk index in of 8.92 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.77 ).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -36.1 days in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -36.1 days is lower, thus worse.

'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:- Looking at the maximum time in days below previous high water mark of 372 days in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
- Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 372 days is larger, thus worse.

'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 (35 days) in the period of the last 5 years, the average time in days below previous high water mark of 94 days of SPDR Select Sector Fund - Utilities is larger, thus worse.
- Compared with SPY (27 days) in the period of the last 3 years, the average days under water of 110 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 - Utilities 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.