Description of SPDR Select Sector Fund - Consumer Staples

SPDR Select Sector Fund - Consumer Staples ETF

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

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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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (66%) in the period of the last 5 years, the total return, or increase in value of 51.5% of SPDR Select Sector Fund - Consumer Staples is lower, thus worse.
  • Compared with SPY (45.6%) in the period of the last 3 years, the total return of 17% is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of SPDR Select Sector Fund - Consumer Staples is 8.7%, which is smaller, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • Compared with SPY (13.3%) in the period of the last 3 years, the annual performance (CAGR) of 5.4% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of SPDR Select Sector Fund - Consumer Staples is 12.2%, which is lower, thus better compared to the benchmark SPY (13.4%) in the same period.
  • Looking at volatility in of 11.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) 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.
  • Compared with SPY (13.8%) in the period of the last 3 years, the downside volatility of 12.4% is smaller, thus better.

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.51, which is smaller, thus worse compared to the benchmark SPY (0.61) in the same period.
  • Compared with SPY (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.25 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.47 of SPDR Select Sector Fund - Consumer Staples is lower, thus worse.
  • Compared with SPY (0.78) in the period of the last 3 years, the downside risk / excess return profile of 0.23 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:
  • The Downside risk index over 5 years of SPDR Select Sector Fund - Consumer Staples is 5 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Ulcer Ratio in of 6.08 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.04 ).

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of SPDR Select Sector Fund - Consumer Staples is -16.1 days, which is higher, thus better compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -16.1 days, which is higher, thus better than the value of -19.3 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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of SPDR Select Sector Fund - Consumer Staples is 306 days, which is higher, 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 larger, 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:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average time in days below previous high water mark of 68 days of SPDR Select Sector Fund - Consumer Staples is higher, thus worse.
  • Looking at average days under water in of 95 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).

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.