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, or increase in value over 5 years of SPDR Select Sector Fund - Real Estate is 19.2%, which is smaller, thus worse compared to the benchmark SPY (85%) in the same period.
• During the last 3 years, the total return, or performance is -4.8%, which is lower, thus worse than the value of 24.7% 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.'

• Compared with the benchmark SPY (13.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 3.6% of SPDR Select Sector Fund - Real Estate is lower, thus worse.
• Compared with SPY (7.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -1.6% is lower, thus worse.

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 30 days standard deviation of 24.9% 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 (20.9%)
• Looking at 30 days standard deviation in of 20.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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 17.9% 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 (15%)
• Looking at downside volatility in of 14.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.1%).

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.'

• The Sharpe Ratio over 5 years of SPDR Select Sector Fund - Real Estate is 0.04, which is lower, thus worse compared to the benchmark SPY (0.51) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.2, which is lower, thus worse than the value of 0.3 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of SPDR Select Sector Fund - Real Estate is 0.06, which is lower, thus worse compared to the benchmark SPY (0.71) in the same period.
• Compared with SPY (0.42) in the period of the last 3 years, the excess return divided by the downside deviation of -0.28 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Index over 5 years of SPDR Select Sector Fund - Real Estate is 16 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 19 is greater, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of SPDR Select Sector Fund - Real Estate is -38.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -34.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

MaxDuration:

'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.'

• The maximum time in days below previous high water mark over 5 years of SPDR Select Sector Fund - Real Estate is 577 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 577 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 days).

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.'

• The average time in days below previous high water mark over 5 years of SPDR Select Sector Fund - Real Estate is 180 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
• Compared with SPY (179 days) in the period of the last 3 years, the average days under water of 236 days is larger, thus worse.