Real Estate Select Sector SPDR Fund (The) ETF

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (46.1%) in the period of the last 5 years, the total return of % of SPDR Select Sector Fund - Real Estate is lower, thus worse.
- Compared with SPY (23.5%) in the period of the last 3 years, the total return, or performance of 17.6% is smaller, thus worse.

'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 (7.9%) in the period of the last 5 years, the annual return (CAGR) of % of SPDR Select Sector Fund - Real Estate is lower, thus worse.
- Compared with SPY (7.3%) in the period of the last 3 years, the annual performance (CAGR) of 5.6% 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.'

Which means for our asset as example:- Looking at the volatility of % in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.3%)
- During the last 3 years, the volatility is 23%, which is higher, thus worse than the value of 20.8% from the benchmark.

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

Which means for our asset as example:- Looking at the downside risk of % in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.4%)
- Compared with SPY (15.4%) in the period of the last 3 years, the downside deviation of 17.2% is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.29) in the period of the last 5 years, the Sharpe Ratio of of SPDR Select Sector Fund - Real Estate is lower, thus worse.
- Looking at Sharpe Ratio in of 0.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.23).

'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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of 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 (0.4)
- Compared with SPY (0.31) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.18 is lower, thus worse.

'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.'

Which means for our asset as example:- The Ulcer Index over 5 years of SPDR Select Sector Fund - Real Estate is , which is smaller, thus better compared to the benchmark SPY (5.27 ) in the same period.
- Compared with SPY (6.08 ) in the period of the last 3 years, the Ulcer Index of 6.05 is lower, thus better.

'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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of SPDR Select Sector Fund - Real Estate is days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -38.8 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of days in the last 5 years of SPDR Select Sector Fund - Real Estate, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
- Looking at maximum time in days below previous high water mark in of 159 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of days of SPDR Select Sector Fund - Real Estate is lower, thus better.
- Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 33 days is smaller, thus better.

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.