SPDR Select Sector Fund - Health Care (XLV)

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, or increase in value of 47.8% in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.6%)
• Looking at total return, or increase in value in of 34.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (36.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 8.1% in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.8%)
• Looking at annual return (CAGR) in of 10.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.8%).

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.'

• Compared with the benchmark SPY (19%) in the period of the last 5 years, the 30 days standard deviation of 19.1% of SPDR Select Sector Fund - Health Care is greater, thus worse.
• Looking at historical 30 days volatility in of 21% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (22%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the downside risk of 13.6% of SPDR Select Sector Fund - Health Care is lower, thus better.
• During the last 3 years, the downside deviation is 14.9%, which is smaller, thus better than the value of 16.2% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.43) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.29 of SPDR Select Sector Fund - Health Care is lower, thus worse.
• Compared with SPY (0.38) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.38 is larger, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Health Care is 0.41, which is lower, thus worse compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (0.52) in the period of the last 3 years, the downside risk / excess return profile of 0.53 is greater, thus better.

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.'

• Looking at the Downside risk index of 6.58 in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.9 )
• Compared with SPY (6.98 ) in the period of the last 3 years, the Downside risk index of 5.93 is lower, thus better.

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.'

• Looking at the maximum reduction from previous high of -28.4 days in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -28.4 days, which is higher, thus better than the value of -33.7 days from the benchmark.

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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 406 days of SPDR Select Sector Fund - Health Care is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 227 days, which is higher, thus worse than the value of 139 days from the benchmark.

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 - Health Care is 110 days, which is higher, thus worse compared to the benchmark SPY (44 days) in the same period.
• Compared with SPY (41 days) in the period of the last 3 years, the average time in days below previous high water mark of 66 days is larger, thus worse.