'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.'

Applying this definition to our asset in some examples:- Looking at the total return of 76.7% in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively greater, thus better in comparison to the benchmark SPY (61.3%)
- Looking at total return, or increase in value in of 29.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.6%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual performance (CAGR) of 12.1% of SPDR Select Sector Fund - Consumer Discretionary is larger, thus better.
- Looking at annual performance (CAGR) in of 8.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.6%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:- Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the 30 days standard deviation of 24.4% of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
- Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 28.4% is higher, thus worse.

'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:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside risk of 18% of SPDR Select Sector Fund - Consumer Discretionary is larger, thus worse.
- Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 21.1% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 0.39, which is larger, thus better compared to the benchmark SPY (0.36) in the same period.
- Looking at Sharpe Ratio in of 0.23 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.3).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.49) in the period of the last 5 years, the downside risk / excess return profile of 0.53 of SPDR Select Sector Fund - Consumer Discretionary is higher, thus better.
- Looking at excess return divided by the downside deviation in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

'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 Ulcer Ratio over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 11 , which is greater, thus worse compared to the benchmark SPY (7.61 ) in the same period.
- Compared with SPY (8.93 ) in the period of the last 3 years, the Downside risk index of 13 is larger, thus worse.

'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 drop from peak to valley of -36.1 days of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus worse.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -36.1 days is smaller, 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) in days.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (185 days) in the period of the last 5 years, the maximum days below previous high of 214 days of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
- Looking at maximum days under water in of 214 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (185 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days under water of 46 days of SPDR Select Sector Fund - Consumer Discretionary is greater, thus worse.
- Looking at average days under water in of 46 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (44 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 Discretionary 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.