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.'

• Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return, or performance of 43.4% of SPDR Select Sector Fund - Materials is lower, thus worse.
• Compared with SPY (47%) in the period of the last 3 years, the total return, or increase in value of 49% is larger, thus better.

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 annual performance (CAGR) over 5 years of SPDR Select Sector Fund - Materials is 7.5%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
• Compared with SPY (13.7%) in the period of the last 3 years, the annual performance (CAGR) of 14.2% is greater, thus better.

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.'

• The historical 30 days volatility over 5 years of SPDR Select Sector Fund - Materials is 24.4%, which is greater, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Compared with SPY (18.7%) in the period of the last 3 years, the volatility of 21.6% is larger, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside volatility of 17.3% 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 (15.4%)
• During the last 3 years, the downside deviation is 15%, which is greater, thus worse than the value of 13.3% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of SPDR Select Sector Fund - Materials is 0.2, which is lower, thus worse compared to the benchmark SPY (0.4) in the same period.
• Compared with SPY (0.6) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.54 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Materials is 0.29, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• Looking at excess return divided by the downside deviation in of 0.78 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

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 9.19 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 (9.45 )
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 8.56 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of SPDR Select Sector Fund - Materials is -37.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -24.7 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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'

• Looking at the maximum time in days below previous high water mark of 281 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 (351 days)
• Looking at maximum time in days below previous high water mark in of 277 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (351 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 under water over 5 years of SPDR Select Sector Fund - Materials is 87 days, which is greater, thus worse compared to the benchmark SPY (78 days) in the same period.
• Compared with SPY (101 days) in the period of the last 3 years, the average days below previous high of 74 days is lower, thus better.