SPDR Select Sector Fund - Real Estate (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.'

• The total return over 5 years of SPDR Select Sector Fund - Real Estate is 34.4%, which is lower, thus worse compared to the benchmark SPY (67.9%) in the same period.
• During the last 3 years, the total return, or increase in value is 12.5%, which is lower, thus worse than the value of 44.5% from the benchmark.

CAGR:

'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.'

• Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 6.1% of SPDR Select Sector Fund - Real Estate is smaller, thus worse.
• Looking at annual return (CAGR) in of 4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.1%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of SPDR Select Sector Fund - Real Estate is 24.4%, which is greater, thus worse compared to the benchmark SPY (21.4%) in the same period.
• During the last 3 years, the volatility is 21.3%, which is larger, thus worse than the value of 18.7% from the benchmark.

DownVol:

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

• The downside risk over 5 years of SPDR Select Sector Fund - Real Estate is 17.8%, which is greater, thus worse compared to the benchmark SPY (15.4%) in the same period.
• During the last 3 years, the downside deviation is 15.1%, which is higher, thus worse than the value of 13.3% 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 Sharpe Ratio over 5 years of SPDR Select Sector Fund - Real Estate is 0.15, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• Compared with SPY (0.56) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.07 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.'

• Looking at the ratio of annual return and downside deviation of 0.2 in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
• During the last 3 years, the excess return divided by the downside deviation is 0.1, 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 Index of 13 in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.47 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 14 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of SPDR Select Sector Fund - Real Estate is -38.8 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -33.3 days, which is lower, thus worse than the value of -24.5 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.'

• Compared with the benchmark SPY (354 days) in the period of the last 5 years, the maximum days below previous high of 355 days of SPDR Select Sector Fund - Real Estate is higher, thus worse.
• Looking at maximum days below previous high in of 355 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (354 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.'

• Looking at the average time in days below previous high water mark of 97 days in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively higher, thus worse in comparison to the benchmark SPY (79 days)
• During the last 3 years, the average days below previous high is 105 days, which is higher, thus worse than the value of 102 days from the benchmark.