Description

SPDR MidCap Trust Series I ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of SPDR MidCap Trust Series I is 37.2%, which is lower, thus worse compared to the benchmark SPY (83.6%) in the same period.
  • Looking at total return, or increase in value in of 5.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (36.9%).

CAGR:

'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:
  • The annual performance (CAGR) over 5 years of SPDR MidCap Trust Series I is 6.5%, which is lower, thus worse compared to the benchmark SPY (12.9%) in the same period.
  • Looking at annual performance (CAGR) in of 1.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.1%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the 30 days standard deviation of 22.2% of SPDR MidCap Trust Series I is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 26.2%, which is larger, thus worse than the value of 22.4% 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.'

Which means for our asset as example:
  • The downside deviation over 5 years of SPDR MidCap Trust Series I is 16.4%, which is larger, thus worse compared to the benchmark SPY (13.7%) in the same period.
  • During the last 3 years, the downside volatility is 19.7%, which is larger, thus worse than the value of 16.5% from the benchmark.

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of SPDR MidCap Trust Series I is 0.18, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
  • Compared with SPY (0.38) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.02 is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 0.25 in the last 5 years of SPDR MidCap Trust Series I, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.76)
  • Compared with SPY (0.52) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.03 is lower, thus worse.

Ulcer:

'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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of SPDR MidCap Trust Series I is 8.24 , which is greater, thus worse compared to the benchmark SPY (5.78 ) in the same period.
  • Looking at Downside risk index in of 10 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (7.07 ).

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.'

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 DrawDown of -42.2 days of SPDR MidCap Trust Series I is lower, thus worse.
  • Looking at maximum drop from peak to valley in of -42.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'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:
  • The maximum time in days below previous high water mark over 5 years of SPDR MidCap Trust Series I is 312 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days under water is 312 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days below previous high of 66 days of SPDR MidCap Trust Series I is larger, thus worse.
  • Looking at average days under water in of 94 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of SPDR MidCap Trust Series I 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.