Description of SPDR Select Sector Fund - Health Care

SPDR Select Sector Fund - Health Care ETF

Statistics of SPDR Select Sector Fund - Health Care (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (68.7%) in the period of the last 5 years, the total return, or performance of 65.5% of SPDR Select Sector Fund - Health Care is lower, thus worse.
  • During the last 3 years, the total return, or increase in value is 34.2%, which is smaller, thus worse than the value of 47.9% 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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of 10.6% 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 (11%)
  • Looking at annual performance (CAGR) in of 10.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the 30 days standard deviation of 15.8% of SPDR Select Sector Fund - Health Care is higher, thus worse.
  • During the last 3 years, the volatility is 13.9%, which is larger, thus worse than the value of 12.5% from the benchmark.

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 17% of SPDR Select Sector Fund - Health Care is larger, thus worse.
  • Compared with SPY (14.2%) in the period of the last 3 years, the downside deviation of 15.5% is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.51 in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.64)
  • Compared with SPY (0.91) in the period of the last 3 years, the Sharpe Ratio of 0.56 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of SPDR Select Sector Fund - Health Care is 0.48, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 0.51, which is lower, thus worse than the value of 0.81 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of SPDR Select Sector Fund - Health Care is 5.93 , which is higher, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Looking at Ulcer Index in of 5.32 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -17.1 days 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 (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -15.4 days is larger, thus better.

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.'

Using this definition on our asset we see for example:
  • 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 greater, thus worse.
  • During the last 3 years, the maximum days under water is 143 days, which is higher, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Average 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. 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.'

Using this definition on our asset we see for example:
  • Looking at the average time in days below previous high water mark of 93 days in the last 5 years of SPDR Select Sector Fund - Health Care, we see it is relatively higher, thus worse in comparison to the benchmark SPY (41 days)
  • Looking at average days under water in of 46 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance of SPDR Select Sector Fund - Health Care (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR Select Sector Fund - Health Care
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Allocations

Returns of SPDR Select Sector Fund - Health Care (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of SPDR Select Sector Fund - Health Care 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.