Description of SPDR Select Sector Fund - Consumer Staples

SPDR Select Sector Fund - Consumer Staples ETF

Statistics of SPDR Select Sector Fund - Consumer Staples (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of SPDR Select Sector Fund - Consumer Staples is 51.7%, which is smaller, thus worse compared to the benchmark SPY (64.1%) in the same period.
  • Compared with SPY (48.1%) in the period of the last 3 years, the total return, or increase in value of 24.3% is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the annual return (CAGR) of 8.7% of SPDR Select Sector Fund - Consumer Staples is smaller, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 7.5%, which is smaller, thus worse than the value of 14% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 12.1% of SPDR Select Sector Fund - Consumer Staples is smaller, thus better.
  • Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 11.5% is lower, thus better.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 13.2% of SPDR Select Sector Fund - Consumer Staples is lower, thus better.
  • Looking at downside risk in of 12.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.51 of SPDR Select Sector Fund - Consumer Staples is smaller, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is lower, thus worse than the value of 0.9 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.'

Which means for our asset as example:
  • Looking at the excess return divided by the downside deviation of 0.47 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 (0.53)
  • Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of 0.39 is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 5 in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively higher, thus worse in comparison to the benchmark SPY (4.02 )
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Ratio of 5.79 is larger, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -16.1 days of SPDR Select Sector Fund - Consumer Staples is larger, thus better.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -16.1 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) in days.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of SPDR Select Sector Fund - Consumer Staples is 306 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days under water is 306 days, which is greater, thus worse than the value of 139 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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of SPDR Select Sector Fund - Consumer Staples is 69 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average days below previous high is 88 days, which is higher, thus worse than the value of 35 days from the benchmark.

Performance of SPDR Select Sector Fund - Consumer Staples (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR Select Sector Fund - Consumer Staples
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Allocations

Returns of SPDR Select Sector Fund - Consumer Staples (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of SPDR Select Sector Fund - Consumer Staples are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.