SPDR Select Sector Fund - Materials (XLB)

TotalReturn:

'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.'

• The total return, or increase in value over 5 years of SPDR Select Sector Fund - Materials is 26.5%, which is lower, thus worse compared to the benchmark SPY (92%) in the same period.
• During the last 3 years, the total return, or increase in value is 35.8%, which is lower, thus worse than the value of 83.1% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of SPDR Select Sector Fund - Materials is 4.8%, which is lower, thus worse compared to the benchmark SPY (14%) in the same period.
• Looking at annual return (CAGR) in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.5%).

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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the 30 days standard deviation of 18.9% of SPDR Select Sector Fund - Materials is greater, thus worse.
• Looking at volatility in of 17.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.1%).

DownVol:

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

• Looking at the downside deviation of 13.1% in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 11.6% is larger, thus worse.

Sharpe:

'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.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the Sharpe Ratio of 0.12 of SPDR Select Sector Fund - Materials is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.49, which is smaller, thus worse than the value of 1.32 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.'

• Looking at the excess return divided by the downside deviation of 0.18 in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.98)
• During the last 3 years, the downside risk / excess return profile is 0.72, which is lower, thus worse than the value of 1.98 from the benchmark.

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.'

• The Ulcer Index over 5 years of SPDR Select Sector Fund - Materials is 8.62 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Downside risk index is 6.67 , which is larger, thus worse than the value of 3.5 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -24.7 days in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -23.2 days is lower, thus worse.

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.'

• Looking at the maximum time in days below previous high water mark of 466 days in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 305 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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 days under water of 142 days of SPDR Select Sector Fund - Materials is higher, thus worse.
• During the last 3 years, the average days below previous high is 85 days, which is greater, thus worse than the value of 20 days from the benchmark.