SPDR Select Sector Fund - Energy Select Sector (XLE)

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.'

• Compared with the benchmark SPY (91.8%) in the period of the last 5 years, the total return, or performance of 90% of SPDR Select Sector Fund - Energy Select Sector is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 57.9%, which is larger, thus better than the value of 30.9% 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.'

• Looking at the annual return (CAGR) of 13.7% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the annual return (CAGR) is 16.6%, which is larger, thus better than the value of 9.5% 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.'

• The 30 days standard deviation over 5 years of SPDR Select Sector Fund - Energy Select Sector is 36.4%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• During the last 3 years, the historical 30 days volatility is 26.2%, which is larger, thus worse than the value of 17.5% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of SPDR Select Sector Fund - Energy Select Sector is 25.7%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 18.5% is higher, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.31 of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.54, which is higher, thus better than the value of 0.4 from the benchmark.

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.'

• Compared with the benchmark SPY (0.76) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.44 of SPDR Select Sector Fund - Energy Select Sector is smaller, thus worse.
• Compared with SPY (0.57) in the period of the last 3 years, the excess return divided by the downside deviation of 0.76 is larger, thus better.

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.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Index of 19 of SPDR Select Sector Fund - Energy Select Sector is greater, thus worse.
• Looking at Downside risk index in of 9.11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.89 ).

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.'

• The maximum DrawDown over 5 years of SPDR Select Sector Fund - Energy Select Sector is -59.9 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 DrawDown is -26.1 days, which is lower, thus worse than the value of -22.4 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.'

• Looking at the maximum days under water of 349 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 202 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (375 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 time in days below previous high water mark over 5 years of SPDR Select Sector Fund - Energy Select Sector is 95 days, which is lower, thus better compared to the benchmark SPY (122 days) in the same period.
• Looking at average days below previous high in of 68 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (114 days).