SPDR Select Sector Fund - Utilities (XLU)

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 - Utilities is 40%, which is smaller, thus worse compared to the benchmark SPY (60.6%) in the same period.
• Compared with SPY (38%) in the period of the last 3 years, the total return, or performance of 20.6% is smaller, thus worse.

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%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7% of SPDR Select Sector Fund - Utilities is smaller, thus worse.
• Looking at annual performance (CAGR) in of 6.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 22.7% in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the historical 30 days volatility is 17.7%, which is smaller, thus better than the value of 17.9% 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 15.9% in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.5%)
• Compared with SPY (12.5%) in the period of the last 3 years, the downside deviation of 12.6% is higher, thus worse.

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 (0.35) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.2 of SPDR Select Sector Fund - Utilities is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.22 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.49).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the downside risk / excess return profile of 0.28 in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.48)
• Looking at excess return divided by the downside deviation in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.71).

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.'

• Compared with the benchmark SPY (9.55 ) in the period of the last 5 years, the Ulcer Ratio of 9.23 of SPDR Select Sector Fund - Utilities is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 8.42 is lower, thus better.

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 (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -36.1 days of SPDR Select Sector Fund - Utilities is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -20.7 days, which is larger, thus better 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 (431 days) in the period of the last 5 years, the maximum days below previous high of 372 days of SPDR Select Sector Fund - Utilities is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 258 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (431 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 99 days in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively lower, thus better in comparison to the benchmark SPY (105 days)
• During the last 3 years, the average days below previous high is 69 days, which is lower, thus better than the value of 144 days from the benchmark.