'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (100.7%) in the period of the last 5 years, the total return, or increase in value of 61.5% of SPDR Select Sector Fund - Consumer Discretionary is lower, thus worse.
- Looking at total return, or increase in value in of 7.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.2%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the annual performance (CAGR) of 10.1% of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus worse.
- Looking at annual return (CAGR) in of 2.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

'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:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the 30 days standard deviation of 25.5% of SPDR Select Sector Fund - Consumer Discretionary is greater, thus worse.
- Looking at 30 days standard deviation in of 24.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 18.5% of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
- During the last 3 years, the downside deviation is 17.8%, which is greater, thus worse than the value of 12% 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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.3 of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus worse.
- Looking at Sharpe Ratio in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.44).

'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:- Looking at the ratio of annual return and downside deviation of 0.41 in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.83)
- Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of -0.01 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.'

Using this definition on our asset we see for example:- The Downside risk index over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 17 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- During the last 3 years, the Downside risk index is 21 , which is higher, thus worse than the value of 10 from the benchmark.

'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:- Looking at the maximum reduction from previous high of -39.7 days in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -39.7 days in the period of the last 3 years, we see it is relatively lower, 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'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 625 days in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum days below previous high is 625 days, which is higher, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 180 days of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 273 days, which is greater, thus worse than the value of 180 days from the benchmark.

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