Description of SPDR Select Sector Fund - Energy Select Sector

SPDR Select Sector Fund - Energy Select Sector ETF

Statistics of SPDR Select Sector Fund - Energy Select Sector (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (66.1%) in the period of the last 5 years, the total return, or increase in value of -28% of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
  • During the last 3 years, the total return, or performance is -1.2%, which is lower, thus worse than the value of 46.2% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of -6.4% of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
  • Looking at annual return (CAGR) in of -0.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.5%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the volatility of 21.6% of SPDR Select Sector Fund - Energy Select Sector is greater, thus worse.
  • Compared with SPY (12.3%) in the period of the last 3 years, the 30 days standard deviation of 18.4% is greater, 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:
  • The downside volatility over 5 years of SPDR Select Sector Fund - Energy Select Sector is 21.7%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • During the last 3 years, the downside deviation is 19.1%, which is larger, thus worse than the value of 13.9% 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.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of SPDR Select Sector Fund - Energy Select Sector is -0.41, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
  • Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of -0.16 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of SPDR Select Sector Fund - Energy Select Sector is -0.41, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.15, which is lower, thus worse than the value of 0.8 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of SPDR Select Sector Fund - Energy Select Sector is 26 , which is greater, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.04 ).

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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of SPDR Select Sector Fund - Energy Select Sector is -46.4 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -30.2 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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:
  • The maximum days below previous high over 5 years of SPDR Select Sector Fund - Energy Select Sector is 1253 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 290 days, which is greater, 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.'

Which means for our asset as example:
  • The average days under water over 5 years of SPDR Select Sector Fund - Energy Select Sector is 625 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 112 days is larger, thus worse.

Performance of SPDR Select Sector Fund - Energy Select Sector (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR Select Sector Fund - Energy Select Sector
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Allocations

Returns of SPDR Select Sector Fund - Energy Select Sector (%)

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