SPDR Select Sector Fund - Consumer Staples (XLP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of SPDR Select Sector Fund - Consumer Staples is 44.5%, which is lower, thus worse compared to the benchmark SPY (57.1%) in the same period.
• During the last 3 years, the total return, or performance is 14.4%, which is lower, thus worse than the value of 32% 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.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual performance (CAGR) of 7.7% of SPDR Select Sector Fund - Consumer Staples is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 4.6%, which is lower, thus worse 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.'

• Looking at the historical 30 days volatility of 17.3% in the last 5 years of SPDR Select Sector Fund - Consumer Staples, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.5%)
• Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 13.7% is lower, thus better.

DownVol:

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

• Looking at the downside risk of 12.2% 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 (15.5%)
• During the last 3 years, the downside risk is 9.9%, which is lower, thus better than the value of 12.5% 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.'

• The risk / return profile (Sharpe) over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.3, which is lower, thus worse compared to the benchmark SPY (0.32) in the same period.
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.15 is lower, thus worse.

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 ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.42, which is lower, thus worse compared to the benchmark SPY (0.45) in the same period.
• Looking at downside risk / excess return profile in of 0.21 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.58).

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.'

• Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Ulcer Index of 5.55 of SPDR Select Sector Fund - Consumer Staples is smaller, thus better.
• Looking at Ulcer Ratio in of 5.59 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -24.5 days of SPDR Select Sector Fund - Consumer Staples is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -16.3 days, which is larger, thus better than the value of -24.5 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (439 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 365 days of SPDR Select Sector Fund - Consumer Staples is lower, thus better.
• During the last 3 years, the maximum days under water is 365 days, which is lower, thus better than the value of 439 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.'

• The average days below previous high over 5 years of SPDR Select Sector Fund - Consumer Staples is 78 days, which is lower, thus better compared to the benchmark SPY (106 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 107 days, which is lower, thus better than the value of 149 days from the benchmark.