Description of Materials Select Sector SPDR

Materials Select Sector SPDR ETF

Statistics of Materials Select Sector SPDR (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:
  • The total return, or increase in value over 5 years of Materials Select Sector SPDR is 29.5%, which is lower, thus worse compared to the benchmark SPY (65.8%) in the same period.
  • Compared with SPY (48.8%) in the period of the last 3 years, the total return, or performance of 32.4% is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.6%) in the period of the last 5 years, the annual performance (CAGR) of 5.3% of Materials Select Sector SPDR is lower, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 9.8%, which is lower, thus worse than the value of 14.2% from the benchmark.

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:
  • The historical 30 days volatility over 5 years of Materials Select Sector SPDR is 17%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 15.5% 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:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 18% of Materials Select Sector SPDR is higher, thus worse.
  • Looking at downside deviation in of 16.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.6%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.17 of Materials Select Sector SPDR is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.47 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.16 of Materials Select Sector SPDR is lower, thus worse.
  • Compared with SPY (0.8) in the period of the last 3 years, the excess return divided by the downside deviation of 0.45 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 9.31 in the last 5 years of Materials Select Sector SPDR, we see it is relatively larger, thus worse in comparison to the benchmark SPY (4.03 )
  • During the last 3 years, the Downside risk index is 8.1 , which is higher, thus worse than the value of 4.1 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -26.9 days of Materials Select Sector SPDR is lower, thus worse.
  • Looking at maximum DrawDown in of -24.7 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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:
  • Looking at the maximum days below previous high of 449 days in the last 5 years of Materials Select Sector SPDR, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 412 days, which is higher, 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 162 days in the last 5 years of Materials Select Sector SPDR, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • During the last 3 years, the average days below previous high is 128 days, which is larger, thus worse than the value of 35 days from the benchmark.

Performance of Materials Select Sector SPDR (YTD)

Historical returns have been extended using synthetic data.

Allocations of Materials Select Sector SPDR
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Allocations

Returns of Materials Select Sector SPDR (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Materials Select Sector SPDR 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.