SPDR Select Sector Fund - Financial (XLF)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of SPDR Select Sector Fund - Financial is 51.2%, which is lower, thus worse compared to the benchmark SPY (55.3%) in the same period.
• During the last 3 years, the total return, or increase in value is 18.3%, which is lower, thus worse than the value of 33% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (9.2%) in the period of the last 5 years, the annual performance (CAGR) of 8.6% of SPDR Select Sector Fund - Financial is lower, thus worse.
• Looking at annual performance (CAGR) in of 5.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 30.2% in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
• Compared with SPY (13.5%) in the period of the last 3 years, the 30 days standard deviation of 16.6% is larger, thus worse.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside risk over 5 years of SPDR Select Sector Fund - Financial is 18.6%, which is larger, thus worse compared to the benchmark SPY (10%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 12.3% 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 Sharpe Ratio of 0.2 in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• Compared with SPY (0.55) in the period of the last 3 years, the Sharpe Ratio of 0.2 is lower, thus worse.

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 (0.67) in the period of the last 5 years, the excess return divided by the downside deviation of 0.33 of SPDR Select Sector Fund - Financial is lower, thus worse.
• Compared with SPY (0.74) in the period of the last 3 years, the downside risk / excess return profile of 0.26 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 (4 ) in the period of the last 5 years, the Downside risk index of 11 of SPDR Select Sector Fund - Financial is greater, thus worse.
• Compared with SPY (4.14 ) in the period of the last 3 years, the Ulcer Index of 7.39 is greater, 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.'

• The maximum drop from peak to valley over 5 years of SPDR Select Sector Fund - Financial is -32 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -24.7 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.'

• Looking at the maximum time in days below previous high water mark of 445 days in the last 5 years of SPDR Select Sector Fund - Financial, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 445 days is greater, thus worse.

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.'

• Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 157 days of SPDR Select Sector Fund - Financial is higher, thus worse.
• During the last 3 years, the average days under water is 149 days, which is greater, thus worse than the value of 36 days from the benchmark.