Description

The investment seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Staples Select Sector Index. In seeking to track the performance of the index, the fund employs a replication strategy. It generally invests substantially all, but at least 95%, of its total assets in the securities comprising the index. The index includes securities of companies from the following industries: food and staples retailing; household products; food products; beverages; tobacco; and personal products. The fund is non-diversified.

Statistics (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.'

Which means for our asset as example:
  • Looking at the total return, or performance of 46.3% 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 (61.3%)
  • During the last 3 years, the total return, or increase in value is 22.3%, which is smaller, thus worse than the value of 31.6% 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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 7.9% 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 (10%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 6.9%, which is lower, thus worse than the value of 9.6% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the volatility of 17.2% of SPDR Select Sector Fund - Consumer Staples is smaller, thus better.
  • Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 19.6% is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 12.3% 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 (15.3%)
  • Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 13.9% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.32, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.23, which is lower, thus worse than the value of 0.3 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:
  • The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Consumer Staples is 0.44, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
  • Looking at excess return divided by the downside deviation in of 0.32 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.4).

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 5.97 , which is lower, thus better compared to the benchmark SPY (7.61 ) in the same period.
  • During the last 3 years, the Ulcer Index is 5.4 , which is smaller, thus better than the value of 8.93 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -24.5 days of SPDR Select Sector Fund - Consumer Staples is higher, thus better.
  • During the last 3 years, the maximum reduction from previous high is -24.5 days, which is greater, thus better than the value of -33.7 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:
  • Compared with the benchmark SPY (185 days) in the period of the last 5 years, the maximum days under water of 306 days of SPDR Select Sector Fund - Consumer Staples is larger, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 123 days, which is lower, thus better than the value of 185 days from the benchmark.

AveDuration:

'The Average 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. 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days below previous high of 63 days of SPDR Select Sector Fund - Consumer Staples is greater, thus worse.
  • During the last 3 years, the average days below previous high is 34 days, which is lower, thus better than the value of 44 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal 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.