SPDR Select Sector Fund - Technology (XLK)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or performance of 119.5% in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively higher, thus better in comparison to the benchmark SPY (62.6%)
• During the last 3 years, the total return, or performance is 54.7%, which is higher, thus better than the value of 32.1% 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.'

• Looking at the annual return (CAGR) of 17.1% 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 (10.2%)
• During the last 3 years, the annual performance (CAGR) is 15.6%, which is larger, thus better than the value of 9.7% 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.'

• The volatility over 5 years of SPDR Select Sector Fund - Technology is 27.9%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
• Looking at historical 30 days volatility in of 31.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24.8%).

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.'

• Looking at the downside volatility of 19.7% in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.6%)
• Compared with SPY (17.9%) in the period of the last 3 years, the downside risk of 22.2% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.52 of SPDR Select Sector Fund - Technology is higher, thus better.
• Compared with SPY (0.29) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.41 is greater, thus better.

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.'

• Compared with the benchmark SPY (0.5) in the period of the last 5 years, the downside risk / excess return profile of 0.74 of SPDR Select Sector Fund - Technology is higher, thus better.
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.59 is larger, 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.'

• The Downside risk index over 5 years of SPDR Select Sector Fund - Technology is 11 , which is higher, thus worse compared to the benchmark SPY (8.52 ) in the same period.
• During the last 3 years, the Ulcer Index is 13 , which is larger, thus worse than the value of 10 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.6 days of SPDR Select Sector Fund - Technology is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -33.6 days, which is greater, thus better 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) in days.'

• Looking at the maximum time in days below previous high water mark of 240 days in the last 5 years of SPDR Select Sector Fund - Technology, we see it is relatively higher, thus worse in comparison to the benchmark SPY (235 days)
• During the last 3 years, the maximum days under water is 240 days, which is larger, thus worse than the value of 235 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.'

• Compared with the benchmark SPY (55 days) in the period of the last 5 years, the average time in days below previous high water mark of 46 days of SPDR Select Sector Fund - Technology is lower, thus better.
• Looking at average time in days below previous high water mark in of 56 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (59 days).