SPDR Select Sector Fund - Real Estate (XLRE)

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.'

• The total return over 5 years of SPDR Select Sector Fund - Real Estate is 54.9%, which is smaller, thus worse compared to the benchmark SPY (121.8%) in the same period.
• During the last 3 years, the total return, or increase in value is 5%, which is smaller, thus worse than the value of 52.8% 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 (17.3%) in the period of the last 5 years, the annual performance (CAGR) of 9.2% of SPDR Select Sector Fund - Real Estate is lower, thus worse.
• Looking at annual return (CAGR) in of 1.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (15.3%).

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 20.3% 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 (17.9%)
• During the last 3 years, the historical 30 days volatility is 20.7%, which is higher, thus worse than the value of 18.4% from the benchmark.

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 14.1% 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 (12.4%)
• Looking at downside volatility in of 14.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

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.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the Sharpe Ratio of 0.33 of SPDR Select Sector Fund - Real Estate is lower, thus worse.
• Compared with SPY (0.7) in the period of the last 3 years, the Sharpe Ratio of -0.04 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.19) in the period of the last 5 years, the excess return divided by the downside deviation of 0.47 of SPDR Select Sector Fund - Real Estate is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.06, which is smaller, thus worse than the value of 1.03 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Index over 5 years of SPDR Select Sector Fund - Real Estate is 16 , which is higher, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.55 ) in the period of the last 3 years, the Ulcer Ratio of 13 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -34.1 days of SPDR Select Sector Fund - Real Estate is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -26.4 days, which is smaller, thus worse than the value of -18.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of SPDR Select Sector Fund - Real Estate is 844 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 507 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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 SPDR Select Sector Fund - Real Estate is 310 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 188 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).