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, or performance over 5 years of SPDR Select Sector Fund - Energy Select Sector is 175.2%, which is larger, thus better compared to the benchmark SPY (101%) in the same period.
• Compared with SPY (76%) in the period of the last 3 years, the total return, or increase in value of 7.8% is smaller, thus worse.

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 22.5% 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%)
• Compared with SPY (20.8%) in the period of the last 3 years, the annual performance (CAGR) of 2.5% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The historical 30 days volatility over 5 years of SPDR Select Sector Fund - Energy Select Sector is 27%, which is higher, thus worse compared to the benchmark SPY (17.1%) in the same period.
• During the last 3 years, the volatility is 22.2%, which is higher, thus worse than the value of 15.7% 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 (11.8%) in the period of the last 5 years, the downside risk of 19% of SPDR Select Sector Fund - Energy Select Sector is greater, thus worse.
• Looking at downside volatility in of 16.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.5%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.74 in the last 5 years of SPDR Select Sector Fund - Energy Select Sector, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.73)
• During the last 3 years, the risk / return profile (Sharpe) is 0, which is smaller, thus worse than the value of 1.17 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.'

• The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Energy Select Sector is 1.06, which is smaller, thus worse compared to the benchmark SPY (1.07) in the same period.
• Looking at excess return divided by the downside deviation in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.75).

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 8.68 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 8.43 , which is higher, thus worse than the value of 3.63 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of SPDR Select Sector Fund - Energy Select Sector is -26.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -20.1 days is lower, 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 under water of 252 days of SPDR Select Sector Fund - Energy Select Sector is lower, thus better.
• During the last 3 years, the maximum days below previous high is 252 days, which is larger, thus worse than the value of 87 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.'

• The average days below previous high over 5 years of SPDR Select Sector Fund - Energy Select Sector is 72 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 89 days, which is higher, thus worse than the value of 21 days from the benchmark.