SPDR Select Sector Fund - Technology (XLK)

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 (75.6%) in the period of the last 5 years, the total return, or performance of 155.3% of SPDR Select Sector Fund - Technology is larger, thus better.
• During the last 3 years, the total return is 75.1%, which is larger, thus better than the value of 40% from the benchmark.

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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 20.7% of SPDR Select Sector Fund - Technology is greater, thus better.
• Compared with SPY (11.9%) in the period of the last 3 years, the annual performance (CAGR) of 20.6% is greater, thus better.

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 (20.3%) in the period of the last 5 years, the volatility of 26.4% of SPDR Select Sector Fund - Technology is higher, thus worse.
• Compared with SPY (23.6%) in the period of the last 3 years, the historical 30 days volatility of 30.1% is greater, 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.'

• Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 18.8% of SPDR Select Sector Fund - Technology is greater, thus worse.
• Looking at downside deviation in of 21.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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.'

• Compared with the benchmark SPY (0.46) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.69 of SPDR Select Sector Fund - Technology is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.6, which is greater, thus better than the value of 0.4 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 ratio of annual return and downside deviation of 0.97 in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.63)
• Compared with SPY (0.54) in the period of the last 3 years, the downside risk / excess return profile of 0.85 is larger, thus better.

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 (6.62 ) in the period of the last 5 years, the Ulcer Ratio of 7.99 of SPDR Select Sector Fund - Technology is greater, thus worse.
• Looking at Ulcer Index in of 8.96 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.55 ).

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.'

• Looking at the maximum drop from peak to valley of -31.2 days in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -31.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of SPDR Select Sector Fund - Technology is 125 days, which is lower, thus better compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (120 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 125 days is higher, 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 (37 days) in the period of the last 5 years, the average days under water of 28 days of SPDR Select Sector Fund - Technology is lower, thus better.
• Looking at average days under water in of 29 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (31 days).