SPDR Select Sector Fund - Materials (XLB)

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.'

• Compared with the benchmark SPY (80.9%) in the period of the last 5 years, the total return, or increase in value of 38.8% of SPDR Select Sector Fund - Materials is lower, thus worse.
• During the last 3 years, the total return is 39.1%, which is smaller, thus worse than the value of 78.3% from the benchmark.

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.'

• Compared with the benchmark SPY (12.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6.8% of SPDR Select Sector Fund - Materials is smaller, thus worse.
• Compared with SPY (21.4%) in the period of the last 3 years, the annual performance (CAGR) of 11.7% is lower, thus worse.

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.'

• Looking at the historical 30 days volatility of 18.9% in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• During the last 3 years, the volatility is 16.9%, which is greater, thus worse than the value of 15% from the benchmark.

DownVol:

'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 (11.7%) in the period of the last 5 years, the downside risk of 13% of SPDR Select Sector Fund - Materials is higher, thus worse.
• Compared with SPY (10%) in the period of the last 3 years, the downside deviation of 11.5% 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.'

• Looking at the risk / return profile (Sharpe) of 0.23 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 (0.6)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.55, which is lower, thus worse than the value of 1.26 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 (0.86) in the period of the last 5 years, the excess return divided by the downside deviation of 0.33 of SPDR Select Sector Fund - Materials is lower, thus worse.
• Compared with SPY (1.88) in the period of the last 3 years, the excess return divided by the downside deviation of 0.8 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.'

• Looking at the Ulcer Ratio of 8.57 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 (8.42 )
• Compared with SPY (3.4 ) in the period of the last 3 years, the Ulcer Index of 6.6 is higher, thus worse.

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 drop from peak to valley 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 reduction from previous high of -23.2 days is smaller, thus worse.

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.'

• The maximum days below previous high over 5 years of SPDR Select Sector Fund - Materials is 466 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 305 days is higher, 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 (119 days) in the period of the last 5 years, the average days below previous high of 143 days of SPDR Select Sector Fund - Materials is larger, thus worse.
• Looking at average time in days below previous high water mark in of 84 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (19 days).