Real Estate Select Sector SPDR Fund (The) ETF

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (77.1%) in the period of the last 5 years, the total return, or increase in value of % of SPDR Select Sector Fund - Real Estate is smaller, thus worse.
- Looking at total return, or performance in of 46.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (51.7%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the annual performance (CAGR) of % of SPDR Select Sector Fund - Real Estate is lower, thus worse.
- Compared with SPY (14.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.7% is smaller, thus worse.

'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 (13.3%) in the period of the last 5 years, the 30 days standard deviation of % of SPDR Select Sector Fund - Real Estate is lower, thus better.
- Compared with SPY (13%) in the period of the last 3 years, the historical 30 days volatility of 13.1% is higher, thus worse.

'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:- Compared with the benchmark SPY (9.6%) in the period of the last 5 years, the downside volatility of % of SPDR Select Sector Fund - Real Estate is smaller, thus better.
- Looking at downside risk in of 9.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.4%).

'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:- Compared with the benchmark SPY (0.72) in the period of the last 5 years, the risk / return profile (Sharpe) of of SPDR Select Sector Fund - Real Estate is lower, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is 0.85, which is lower, thus worse than the value of 0.96 from the benchmark.

'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 (1) in the period of the last 5 years, the excess return divided by the downside deviation of of SPDR Select Sector Fund - Real Estate is lower, thus worse.
- Looking at excess return divided by the downside deviation in of 1.19 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.32).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (3.97 ) in the period of the last 5 years, the Downside risk index of of SPDR Select Sector Fund - Real Estate is smaller, thus better.
- During the last 3 years, the Ulcer Ratio is 3.85 , which is lower, thus better than the value of 4.1 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum DrawDown of days in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively larger, thus better in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum reduction from previous high is -12.5 days, which is greater, thus better than the value of -19.3 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of days of SPDR Select Sector Fund - Real Estate is lower, thus better.
- During the last 3 years, the maximum days below previous high is 159 days, which is larger, thus worse than the value of 139 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of days of SPDR Select Sector Fund - Real Estate is smaller, thus better.
- During the last 3 years, the average time in days below previous high water mark is 33 days, which is lower, thus better than the value of 37 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of SPDR Select Sector Fund - Real Estate 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.