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.'

• Compared with the benchmark SPY (105.5%) in the period of the last 5 years, the total return, or performance of 275.6% of SPDR Select Sector Fund - Energy Select Sector is higher, thus better.
• During the last 3 years, the total return is 6.8%, which is smaller, thus worse than the value of 84% 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.'

• Looking at the compounded annual growth rate (CAGR) of 30.4% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively larger, thus better in comparison to the benchmark SPY (15.6%)
• Compared with SPY (22.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.2% is lower, thus worse.

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 28.3% in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the 30 days standard deviation is 22.5%, which is greater, thus worse than the value of 16% 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 19%, which is larger, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside deviation of 16.7% 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.'

• Looking at the risk / return profile (Sharpe) of 0.99 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 (0.76)
• Looking at Sharpe Ratio in of -0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.26).

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 (1.11) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.47 of SPDR Select Sector Fund - Energy Select Sector is higher, thus better.
• Compared with SPY (1.93) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.02 is lower, thus worse.

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.'

• Looking at the Downside risk index of 8.68 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 (8.41 )
• Compared with SPY (3.61 ) in the period of the last 3 years, the Ulcer Index of 8.5 is larger, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -26.1 days of SPDR Select Sector Fund - Energy Select Sector is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -20.1 days is smaller, thus worse.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 239 days of SPDR Select Sector Fund - Energy Select Sector is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 239 days, which is higher, thus worse than the value of 87 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 70 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 (120 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average days below previous high of 95 days is larger, thus worse.