Description

The investment seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index. The Trust seeks to achieve its investment objective by holding a portfolio of the common stocks that are included in the index (Portfolio), with the weight of each stock in the Portfolio substantially corresponding to the weight of such stock in the index.

Statistics (YTD)

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

TotalReturn:

'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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 113.5% in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus better in comparison to the benchmark SPY (113.5%)
  • Compared with SPY (61.8%) in the period of the last 3 years, the total return of 61.8% is higher, thus better.

CAGR:

'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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of SPDR S&P 500 is 16.4%, which is larger, thus better compared to the benchmark SPY (16.4%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 17.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (17.5%).

Volatility:

'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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of SPDR S&P 500 is 17.6%, which is greater, thus worse compared to the benchmark SPY (17.6%) in the same period.
  • Compared with SPY (17.9%) in the period of the last 3 years, the volatility of 17.9% is higher, thus worse.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside deviation of 12.2% in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus worse in comparison to the benchmark SPY (12.2%)
  • Compared with SPY (11.9%) in the period of the last 3 years, the downside deviation of 11.9% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.79 of SPDR S&P 500 is higher, thus better.
  • Compared with SPY (0.84) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.84 is higher, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.14) in the period of the last 5 years, the downside risk / excess return profile of 1.14 of SPDR S&P 500 is larger, thus better.
  • During the last 3 years, the ratio of annual return and downside deviation is 1.25, which is larger, thus better than the value of 1.25 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.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 8.48 in the last 5 years of SPDR S&P 500, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
  • Compared with SPY (5.32 ) in the period of the last 3 years, the Ulcer Ratio of 5.32 is larger, thus worse.

MaxDD:

'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.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -24.5 days in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
  • Looking at maximum drop from peak to valley in of -18.8 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of SPDR S&P 500 is 488 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 199 days, which is greater, thus worse than the value of 199 days from the benchmark.

AveDuration:

'The Average 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. 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:
  • Looking at the average days below previous high of 120 days in the last 5 years of SPDR S&P 500, we see it is relatively larger, thus worse in comparison to the benchmark SPY (120 days)
  • Looking at average time in days below previous high water mark in of 46 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (46 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of SPDR S&P 500 are hypothetical and do not account for slippage, fees or taxes.