SPDR Select Sector Fund - Consumer Discretionary (XLY)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or performance over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 50.8%, which is smaller, thus worse compared to the benchmark SPY (68.1%) in the same period.
• During the last 3 years, the total return is 26.4%, which is lower, thus worse than the value of 47% from the benchmark.

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.'

• Compared with the benchmark SPY (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.6% of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 8.1%, which is lower, thus worse than the value of 13.7% from the benchmark.

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 (21.4%) in the period of the last 5 years, the volatility of 25.6% of SPDR Select Sector Fund - Consumer Discretionary is larger, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the 30 days standard deviation of 25.3% is larger, thus worse.

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 (15.4%) in the period of the last 5 years, the downside risk of 18.6% of SPDR Select Sector Fund - Consumer Discretionary is greater, thus worse.
• During the last 3 years, the downside volatility is 18.2%, which is greater, thus worse than the value of 13.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 0.24, which is lower, thus worse compared to the benchmark SPY (0.4) in the same period.
• Compared with SPY (0.6) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.22 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the excess return divided by the downside deviation of 0.33 of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.31, which is lower, thus worse than the value of 0.84 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.'

• The Downside risk index over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 16 , which is larger, thus worse compared to the benchmark SPY (9.45 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 19 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -39.7 days of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -39.7 days in the period of the last 3 years, we see it is relatively smaller, thus worse 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 days under water of 380 days in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively larger, thus worse in comparison to the benchmark SPY (351 days)
• Compared with SPY (351 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 380 days is larger, thus worse.

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 days under water of 85 days in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively greater, thus worse in comparison to the benchmark SPY (78 days)
• Compared with SPY (101 days) in the period of the last 3 years, the average time in days below previous high water mark of 112 days is greater, thus worse.