SPDR Select Sector Fund - Technology (XLK)

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 - Technology is 208.4%, which is greater, thus better compared to the benchmark SPY (88%) in the same period.
• During the last 3 years, the total return, or increase in value is 102.9%, which is larger, thus better than the value of 39.5% 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.'

• The annual performance (CAGR) over 5 years of SPDR Select Sector Fund - Technology is 25.3%, which is higher, thus better compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is 26.6%, which is greater, thus better than the value of 11.7% from the benchmark.

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.'

• Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the historical 30 days volatility of 23.6% of SPDR Select Sector Fund - Technology is higher, thus worse.
• Compared with SPY (22.3%) in the period of the last 3 years, the 30 days standard deviation of 28.2% 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 (13.7%) in the period of the last 5 years, the downside deviation of 16.7% of SPDR Select Sector Fund - Technology is higher, thus worse.
• Looking at downside volatility in of 20% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.5%).

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.'

• The risk / return profile (Sharpe) over 5 years of SPDR Select Sector Fund - Technology is 0.97, which is larger, thus better compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.85 is higher, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The downside risk / excess return profile over 5 years of SPDR Select Sector Fund - Technology is 1.37, which is larger, thus better compared to the benchmark SPY (0.8) in the same period.
• Compared with SPY (0.56) in the period of the last 3 years, the excess return divided by the downside deviation of 1.2 is higher, thus better.

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.'

• Compared with the benchmark SPY (5.79 ) in the period of the last 5 years, the Ulcer Ratio of 6.02 of SPDR Select Sector Fund - Technology is larger, thus worse.
• Looking at Ulcer Index in of 7.32 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (7.08 ).

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 DrawDown over 5 years of SPDR Select Sector Fund - Technology is -31.2 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -31.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

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 days under water of 123 days in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively smaller, thus better in comparison to the benchmark SPY (139 days)
• Looking at maximum time in days below previous high water mark in of 123 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 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.'

• Looking at the average time in days below previous high water mark of 23 days in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively lower, thus better in comparison to the benchmark SPY (37 days)
• During the last 3 years, the average days under water is 27 days, which is lower, thus better than the value of 45 days from the benchmark.