SPDR Select Sector Fund - Energy Select Sector (XLE)

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.'

• The total return, or increase in value over 5 years of SPDR Select Sector Fund - Energy Select Sector is 83.7%, which is lower, thus worse compared to the benchmark SPY (86.8%) in the same period.
• During the last 3 years, the total return, or increase in value is 129.4%, which is larger, thus better than the value of 26.3% from the benchmark.

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 - Energy Select Sector is 12.9%, which is smaller, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Looking at annual performance (CAGR) in of 31.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (8.1%).

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 historical 30 days volatility of 36.4% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
• During the last 3 years, the volatility is 28.2%, which is larger, thus worse than the value of 17.3% 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 risk over 5 years of SPDR Select Sector Fund - Energy Select Sector is 25.7%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 19.4% is greater, 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.'

• Looking at the risk / return profile (Sharpe) of 0.29 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 (0.52)
• Looking at ratio of return and volatility (Sharpe) in of 1.04 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.32).

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 (0.72) in the period of the last 5 years, the downside risk / excess return profile of 0.41 of SPDR Select Sector Fund - Energy Select Sector is smaller, thus worse.
• Compared with SPY (0.46) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.52 is greater, 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.'

• The Ulcer Index over 5 years of SPDR Select Sector Fund - Energy Select Sector is 21 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Ulcer Ratio in of 9.04 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of SPDR Select Sector Fund - Energy Select Sector is -62.5 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 -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) in days.'

• The maximum days under water over 5 years of SPDR Select Sector Fund - Energy Select Sector is 627 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 202 days is smaller, thus better.

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 time in days below previous high water mark of 194 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• Looking at average time in days below previous high water mark in of 57 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (178 days).