SPDR Select Sector Fund - Materials (XLB)

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.'

• The total return, or performance over 5 years of SPDR Select Sector Fund - Materials is 49.6%, which is smaller, thus worse compared to the benchmark SPY (110.1%) in the same period.
• Looking at total return, or performance in of 30.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (86.9%).

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 Select Sector Fund - Materials is 8.4%, which is lower, thus worse compared to the benchmark SPY (16.1%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.2%, which is lower, thus worse than the value of 23.3% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of SPDR Select Sector Fund - Materials is 19.3%, which is higher, thus worse compared to the benchmark SPY (17.2%) in the same period.
• Looking at historical 30 days volatility in of 17.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.1%).

DownVol:

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

• The downside volatility over 5 years of SPDR Select Sector Fund - Materials is 13.2%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside volatility in of 12.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of SPDR Select Sector Fund - Materials is 0.31, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.38, which is smaller, thus worse than the value of 1.29 from the benchmark.

Sortino:

'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.'

• Compared with the benchmark SPY (1.15) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.45 of SPDR Select Sector Fund - Materials is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.56, 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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 8.44 of SPDR Select Sector Fund - Materials is greater, thus worse.
• During the last 3 years, the Downside risk index is 6.65 , which is larger, thus worse than the value of 3.63 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -24.7 days of SPDR Select Sector Fund - Materials is smaller, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 466 days of SPDR Select Sector Fund - Materials is lower, thus better.
• Looking at maximum days below previous high in of 251 days in the period of the last 3 years, we see it is relatively larger, 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.'

• The average days below previous high over 5 years of SPDR Select Sector Fund - Materials is 132 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 70 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).