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.'

• Looking at the total return, or increase in value of 42.5% in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively lower, thus worse in comparison to the benchmark SPY (81%)
• Looking at total return, or increase in value in of 24.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (75.8%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 7.4% in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
• Looking at annual return (CAGR) in of 7.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.8%).

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 (17%) in the period of the last 5 years, the historical 30 days volatility of 13.2% of SPDR Select Sector Fund - Consumer Staples is lower, thus better.
• Looking at volatility in of 12% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside risk of 9.4% of SPDR Select Sector Fund - Consumer Staples is lower, thus better.
• During the last 3 years, the downside volatility is 8.3%, which is smaller, thus better than the value of 10.1% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.37 in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
• Looking at ratio of return and volatility (Sharpe) in of 0.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.22).

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 excess return divided by the downside deviation over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.52, which is smaller, thus worse compared to the benchmark SPY (0.87) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.61, which is lower, thus worse than the value of 1.82 from the benchmark.

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 (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 5.4 of SPDR Select Sector Fund - Consumer Staples is lower, thus better.
• During the last 3 years, the Ulcer Index is 4.43 , which is greater, thus worse than the value of 3.4 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 greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -13.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 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.'

• The maximum days under water over 5 years of SPDR Select Sector Fund - Consumer Staples is 486 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• 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.'

• Looking at the average time in days below previous high water mark of 121 days in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (19 days) in the period of the last 3 years, the average days below previous high of 62 days is higher, thus worse.