SPDR Select Sector Fund - Health Care (XLV)

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.'

• Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or performance of 65.7% of SPDR Select Sector Fund - Health Care is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 28.9%, which is lower, thus worse than the value of 44.5% from the benchmark.

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 (10.9%) in the period of the last 5 years, the annual return (CAGR) of 10.6% of SPDR Select Sector Fund - Health Care is smaller, thus worse.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of 8.8% 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 (21.4%) in the period of the last 5 years, the 30 days standard deviation of 19.1% of SPDR Select Sector Fund - Health Care is lower, thus better.
• Compared with SPY (18.8%) in the period of the last 3 years, the volatility of 15.8% is lower, thus better.

DownVol:

'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.'

• Looking at the downside deviation of 13.4% in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.4%)
• During the last 3 years, the downside volatility is 11.1%, which is smaller, thus better than the value of 13.3% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of SPDR Select Sector Fund - Health Care is 0.43, which is higher, thus better compared to the benchmark SPY (0.39) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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 excess return divided by the downside deviation of 0.61 in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.55)
• Looking at excess return divided by the downside deviation in of 0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

• Compared with the benchmark SPY (9.46 ) in the period of the last 5 years, the Downside risk index of 5.81 of SPDR Select Sector Fund - Health Care is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 5.8 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 reduction from previous high of -28.4 days of SPDR Select Sector Fund - Health Care is greater, thus better.
• Looking at maximum drop from peak to valley in of -16.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-24.5 days).

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.'

• Looking at the maximum time in days below previous high water mark of 285 days in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively smaller, thus better in comparison to the benchmark SPY (352 days)
• During the last 3 years, the maximum days below previous high is 285 days, which is lower, thus better than the value of 352 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 74 days, which is lower, thus better compared to the benchmark SPY (78 days) in the same period.
• During the last 3 years, the average days below previous high is 71 days, which is smaller, thus better than the value of 102 days from the benchmark.