SPDR Select Sector Fund - Industrial (XLI)

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 - Industrial is 35.7%, which is lower, thus worse compared to the benchmark SPY (59.2%) in the same period.
• Looking at total return, or increase in value in of 8.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.1%).

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.'

• Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 6.3% of SPDR Select Sector Fund - Industrial is lower, thus worse.
• Looking at annual return (CAGR) in of 2.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

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 30 days standard deviation over 5 years of SPDR Select Sector Fund - Industrial is 21.5%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
• During the last 3 years, the volatility is 25%, which is larger, thus worse than the value of 21.5% from the benchmark.

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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside volatility of 15.6% of SPDR Select Sector Fund - Industrial is larger, thus worse.
• During the last 3 years, the downside risk is 18.3%, which is higher, thus worse than the value of 15.7% from the benchmark.

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 0.18 in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.01, which is smaller, thus worse than the value of 0.35 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.'

• Looking at the excess return divided by the downside deviation of 0.24 in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.53)
• Compared with SPY (0.48) in the period of the last 3 years, the excess return divided by the downside deviation of 0.01 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.'

• The Ulcer Ratio over 5 years of SPDR Select Sector Fund - Industrial is 8.11 , which is higher, thus worse compared to the benchmark SPY (5.79 ) in the same period.
• During the last 3 years, the Ulcer Index is 9.82 , which is larger, thus worse than the value of 6.83 from the benchmark.

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 DrawDown over 5 years of SPDR Select Sector Fund - Industrial is -42.3 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -42.3 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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 days under water of 208 days in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days under water is 208 days, which is higher, thus worse than the value of 139 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.'

• Looking at the average days under water of 57 days in the last 5 years of SPDR Select Sector Fund - Industrial, we see it is relatively greater, thus worse in comparison to the benchmark SPY (42 days)
• During the last 3 years, the average days below previous high is 60 days, which is greater, thus worse than the value of 38 days from the benchmark.