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 over 5 years of SPDR Select Sector Fund - Materials is 55.6%, which is smaller, thus worse compared to the benchmark SPY (111.4%) in the same period.
• During the last 3 years, the total return is 23.7%, which is lower, thus worse than the value of 66.9% 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 (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 9.3% of SPDR Select Sector Fund - Materials is lower, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.4% is lower, thus worse.

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.'

• Looking at the 30 days standard deviation of 19.4% 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 (17.3%)
• Compared with SPY (16.9%) in the period of the last 3 years, the historical 30 days volatility of 18.6% is larger, thus worse.

DownVol:

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

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside risk of 13.3% of SPDR Select Sector Fund - Materials is greater, thus worse.
• During the last 3 years, the downside deviation is 12.7%, which is higher, thus worse than the value of 11.2% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of SPDR Select Sector Fund - Materials is 0.35, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.96) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.26 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 0.51 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 (1.15)
• Looking at excess return divided by the downside deviation in of 0.38 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.44).

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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Ulcer Index of 8.4 of SPDR Select Sector Fund - Materials is lower, thus better.
• Looking at Downside risk index in of 6.86 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.21 ).

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.'

• 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 drop from peak to valley of -23.2 days is lower, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 466 days of SPDR Select Sector Fund - Materials is lower, thus better.
• Looking at maximum days under water in of 224 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (97 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.'

• Looking at the average days under water of 127 days 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 (120 days)
• During the last 3 years, the average days under water is 61 days, which is higher, thus worse than the value of 27 days from the benchmark.