Real Estate Select Sector SPDR Fund (The) (XLRE)

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.'

• Compared with the benchmark SPY (67.3%) in the period of the last 5 years, the total return of % of Real Estate Select Sector SPDR Fund (The) is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 24.9%, which is smaller, thus worse than the value of 46.1% from the benchmark.

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 annual performance (CAGR) of % in the last 5 years of Real Estate Select Sector SPDR Fund (The), we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
• Looking at compounded annual growth rate (CAGR) in of 7.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.5%).

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 % in the last 5 years of Real Estate Select Sector SPDR Fund (The), we see it is relatively lower, thus better in comparison to the benchmark SPY (13.2%)
• Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 13.6% is greater, thus worse.

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 % in the last 5 years of Real Estate Select Sector SPDR Fund (The), we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.6%)
• Looking at downside deviation in of 15.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14%).

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.'

• Looking at the risk / return profile (Sharpe) of in the last 5 years of Real Estate Select Sector SPDR Fund (The), we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.63)
• Compared with SPY (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.38 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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the ratio of annual return and downside deviation of of Real Estate Select Sector SPDR Fund (The) is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.34, which is smaller, thus worse than the value of 0.79 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.'

• Looking at the Ulcer Ratio of in the last 5 years of Real Estate Select Sector SPDR Fund (The), we see it is relatively lower, thus worse in comparison to the benchmark SPY (3.95 )
• Compared with SPY (4 ) in the period of the last 3 years, the Downside risk index of 5.79 is higher, thus better.

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of days of Real Estate Select Sector SPDR Fund (The) is larger, thus better.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -14.6 days is higher, 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.'

• Looking at the maximum days under water of days in the last 5 years of Real Estate Select Sector SPDR Fund (The), we see it is relatively smaller, thus better in comparison to the benchmark SPY (187 days)
• Looking at maximum days under water in of 320 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 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.'

• The average days under water over 5 years of Real Estate Select Sector SPDR Fund (The) is days, which is smaller, thus better compared to the benchmark SPY (39 days) in the same period.
• Compared with SPY (33 days) in the period of the last 3 years, the average days below previous high of 96 days is larger, thus worse.