SPDR Select Sector Fund - Consumer Discretionary (XLY)

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.'

• Compared with the benchmark SPY (121.8%) in the period of the last 5 years, the total return of 97.2% of SPDR Select Sector Fund - Consumer Discretionary is lower, thus worse.
• Compared with SPY (52.8%) in the period of the last 3 years, the total return, or performance of 45.7% is lower, thus worse.

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.'

• Looking at the annual return (CAGR) of 14.6% in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.3%)
• Compared with SPY (15.3%) in the period of the last 3 years, the annual return (CAGR) of 13.4% 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.'

• The historical 30 days volatility over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 24.1%, which is greater, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Looking at 30 days standard deviation in of 25% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.4%).

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.'

• Looking at the downside risk of 16.9% in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.4%)
• Compared with SPY (12.4%) in the period of the last 3 years, the downside volatility of 17.1% is higher, 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.'

• Looking at the risk / return profile (Sharpe) of 0.5 in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.83)
• During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is lower, thus worse than the value of 0.7 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 0.71, which is smaller, thus worse compared to the benchmark SPY (1.19) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.64 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.03).

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 Downside risk index over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 17 , which is higher, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.55 ) in the period of the last 3 years, the Downside risk index of 11 is larger, thus worse.

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.'

• The maximum reduction from previous high over 5 years of SPDR Select Sector Fund - Consumer Discretionary is -39.7 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -26.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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 743 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 (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 219 days is higher, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 245 days of SPDR Select Sector Fund - Consumer Discretionary is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 59 days, which is greater, thus worse than the value of 45 days from the benchmark.