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 (80.1%) in the period of the last 5 years, the total return of 66.5% of SPDR Select Sector Fund - Materials is lower, thus worse.
• During the last 3 years, the total return, or performance is 20.2%, which is smaller, thus worse than the value of 30.8% 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.'

• Looking at the annual return (CAGR) of 10.8% in the last 5 years of SPDR Select Sector Fund - Materials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.5%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 6.3%, which is lower, thus worse than the value of 9.4% 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 24.4%, which is higher, thus worse compared to the benchmark SPY (21.3%) in the same period.
• Looking at historical 30 days volatility in of 20.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

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.'

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 17.2% of SPDR Select Sector Fund - Materials is larger, thus worse.
• Looking at downside deviation in of 13.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

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.'

• Compared with the benchmark SPY (0.47) in the period of the last 5 years, the Sharpe Ratio of 0.34 of SPDR Select Sector Fund - Materials is lower, thus worse.
• Compared with SPY (0.39) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.19 is smaller, 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.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the downside risk / excess return profile of 0.48 of SPDR Select Sector Fund - Materials is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.28, which is lower, thus worse than the value of 0.56 from the benchmark.

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.'

• The Downside risk index over 5 years of SPDR Select Sector Fund - Materials is 8.9 , which is lower, thus better compared to the benchmark SPY (9.43 ) in the same period.
• Looking at Ulcer Ratio in of 9.29 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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 (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -37.1 days of SPDR Select Sector Fund - Materials is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -24.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

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.'

• Looking at the maximum days below previous high of 404 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 (478 days)
• Compared with SPY (478 days) in the period of the last 3 years, the maximum days under water of 404 days is lower, thus better.

AveDuration:

'The Average 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. 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 (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 93 days of SPDR Select Sector Fund - Materials is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 131 days, which is lower, thus better than the value of 173 days from the benchmark.