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.'

• The total return over 5 years of SPDR Select Sector Fund - Energy Select Sector is 158.5%, which is higher, thus better compared to the benchmark SPY (108.3%) in the same period.
• Looking at total return, or performance in of 4.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (49.1%).

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.'

• Looking at the annual performance (CAGR) of 21% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.8%)
• Looking at annual return (CAGR) in of 1.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.3%).

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 volatility of 30.4% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.9%)
• During the last 3 years, the volatility is 26.1%, which is higher, thus worse than the value of 18.1% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside volatility of 20.8% of SPDR Select Sector Fund - Energy Select Sector is higher, thus worse.
• During the last 3 years, the downside risk is 19.3%, which is greater, thus worse than the value of 12.2% 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.'

• Compared with the benchmark SPY (0.75) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.61 of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
• Compared with SPY (0.65) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.04 is lower, 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 (1.07) in the period of the last 5 years, the excess return divided by the downside deviation of 0.89 of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
• Compared with SPY (0.97) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.06 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Downside risk index of 12 of SPDR Select Sector Fund - Energy Select Sector is higher, thus worse.
• During the last 3 years, the Ulcer Index is 9.81 , which is greater, thus worse than the value of 5.55 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -39.1 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -26.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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). 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 202 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 202 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 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.'

• Looking at the average days below previous high of 64 days in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average time in days below previous high water mark is 75 days, which is larger, thus worse than the value of 46 days from the benchmark.