SPDR S&P 500 (SPY)

TotalReturn:

'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.'

• Looking at the total return, or increase in value of 104.2% in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus better in comparison to the benchmark SPY (104.2%)
• Looking at total return, or increase in value in of 93% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (93%).

CAGR:

'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.'

• The compounded annual growth rate (CAGR) over 5 years of SPDR S&P 500 is 15.4%, which is greater, thus better compared to the benchmark SPY (15.4%) in the same period.
• Looking at annual performance (CAGR) in of 24.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (24.7%).

Volatility:

'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.'

• The 30 days standard deviation over 5 years of SPDR S&P 500 is 17.2%, which is larger, thus worse compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the volatility is 16.3%, which is higher, thus worse than the value of 16.3% from the benchmark.

DownVol:

'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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside volatility of 11.9% of SPDR S&P 500 is larger, thus worse.
• Looking at downside risk in of 10.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.6%).

Sharpe:

'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.'

• Looking at the Sharpe Ratio of 0.75 in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.75)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.36, which is greater, thus better than the value of 1.36 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.09) in the period of the last 5 years, the excess return divided by the downside deviation of 1.09 of SPDR S&P 500 is higher, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.1, which is larger, thus better than the value of 2.1 from the benchmark.

Ulcer:

'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.'

• The Ulcer Index over 5 years of SPDR S&P 500 is 8.42 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Index in of 3.62 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.62 ).

MaxDD:

'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.'

• The maximum DrawDown over 5 years of SPDR S&P 500 is -24.5 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -18.8 days, which is greater, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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 488 days of SPDR S&P 500 is larger, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 87 days is greater, thus worse.

AveDuration:

'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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 120 days of SPDR S&P 500 is greater, thus worse.
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 21 days is larger, thus worse.