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.'

• Compared with the benchmark SPY (98.9%) in the period of the last 5 years, the total return, or increase in value of 102.3% of SPDR Select Sector Fund - Financial is higher, thus better.
• Compared with SPY (78.8%) in the period of the last 3 years, the total return, or performance of 61.2% is lower, thus worse.

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.'

• The annual return (CAGR) over 5 years of SPDR Select Sector Fund - Financial is 15.2%, which is greater, thus better compared to the benchmark SPY (14.8%) in the same period.
• Looking at annual performance (CAGR) in of 17.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.5%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 18.9% of SPDR Select Sector Fund - Financial is higher, thus worse.
• Compared with SPY (15.5%) in the period of the last 3 years, the volatility of 16.6% is greater, thus worse.

DownVol:

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

• Looking at the downside volatility of 13% 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 (11.8%)
• Looking at downside deviation in of 11.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.4%).

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.'

• The Sharpe Ratio over 5 years of SPDR Select Sector Fund - Financial is 0.67, which is smaller, thus worse compared to the benchmark SPY (0.72) in the same period.
• Compared with SPY (1.22) in the period of the last 3 years, the Sharpe Ratio of 0.89 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of SPDR Select Sector Fund - Financial is 0.97, which is lower, thus worse compared to the benchmark SPY (1.04) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.26, which is smaller, thus worse than the value of 1.83 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of SPDR Select Sector Fund - Financial is 10 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.57 ) in the period of the last 3 years, the Ulcer Index of 5.48 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -25.8 days of SPDR Select Sector Fund - Financial is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -16.3 days is higher, thus better.

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 528 days of SPDR Select Sector Fund - Financial is larger, thus worse.
• Looking at maximum days below previous high in of 212 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 133 days of SPDR Select Sector Fund - Financial is greater, thus worse.
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 47 days is higher, thus worse.