SPDR Select Sector Fund - Utilities (XLU)

TotalReturn:

'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.'

• Looking at the total return of 44.1% in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (81.9%)
• Looking at total return, or performance in of 50.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (77.2%).

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.'

• Looking at the annual performance (CAGR) of 7.6% in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.8%)
• Compared with SPY (21.1%) in the period of the last 3 years, the annual performance (CAGR) of 14.6% 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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the 30 days standard deviation of 17.4% of SPDR Select Sector Fund - Utilities is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 16.4%, which is larger, thus worse than the value of 15.3% 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 volatility of 12.4% 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 (11.8%)
• During the last 3 years, the downside risk is 11.6%, which is greater, thus worse than the value of 10.3% 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 risk / return profile (Sharpe) over 5 years of SPDR Select Sector Fund - Utilities is 0.29, which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
• Looking at Sharpe Ratio in of 0.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.21).

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 downside risk / excess return profile of 0.41 in the last 5 years of SPDR Select Sector Fund - Utilities, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.87)
• Looking at downside risk / excess return profile in of 1.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.81).

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 - Utilities is 9.1 , which is larger, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 4.55 , which is higher, thus worse than the value of 3.37 from the benchmark.

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 -25.2 days of SPDR Select Sector Fund - Utilities is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -13.1 days, which is greater, thus better 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 473 days of SPDR Select Sector Fund - Utilities is smaller, thus better.
• Looking at maximum days under water in of 131 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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 time in days below previous high water mark over 5 years of SPDR Select Sector Fund - Utilities is 118 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• Compared with SPY (18 days) in the period of the last 3 years, the average days under water of 38 days is higher, thus worse.