SPDR Select Sector Fund - Consumer Staples (XLP)

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.'

• The total return, or increase in value over 5 years of SPDR Select Sector Fund - Consumer Staples is 35%, which is lower, thus worse compared to the benchmark SPY (74.4%) in the same period.
• Looking at total return, or increase in value in of 20.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (69.4%).

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.'

• Looking at the annual performance (CAGR) of 6.2% in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11.8%)
• Compared with SPY (19.3%) in the period of the last 3 years, the annual performance (CAGR) of 6.5% is lower, thus worse.

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 historical 30 days volatility over 5 years of SPDR Select Sector Fund - Consumer Staples is 13.2%, which is smaller, thus better compared to the benchmark SPY (17%) in the same period.
• During the last 3 years, the volatility is 11.9%, which is smaller, thus better than the value of 15% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (11.8%) in the period of the last 5 years, the downside risk of 9.4% of SPDR Select Sector Fund - Consumer Staples is smaller, thus better.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 8.3% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.28 of SPDR Select Sector Fund - Consumer Staples is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.33, which is smaller, thus worse than the value of 1.12 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.4 in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.79)
• During the last 3 years, the downside risk / excess return profile is 0.48, which is smaller, thus worse than the value of 1.66 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 5.43 in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.43 )
• During the last 3 years, the Ulcer Ratio is 4.5 , which is higher, thus worse than the value of 3.44 from the benchmark.

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.'

• Looking at the maximum DrawDown of -16.3 days in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -13.4 days is greater, 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). 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 486 days in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 216 days in the period of the last 3 years, we see it is relatively higher, 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 days below previous high of 121 days of SPDR Select Sector Fund - Consumer Staples is larger, thus worse.
• Looking at average days under water in of 62 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).