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.'

• The total return over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 114%, which is lower, thus worse compared to the benchmark SPY (143%) in the same period.
• Compared with SPY (39%) in the period of the last 3 years, the total return of 21.5% is smaller, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 16.5%, which is smaller, thus worse compared to the benchmark SPY (19.5%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of 6.8% is smaller, 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.'

• Looking at the 30 days standard deviation of 25.2% 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 (19.6%)
• During the last 3 years, the volatility is 24.5%, which is higher, thus worse than the value of 17.1% from the benchmark.

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.'

• The downside deviation over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 17.9%, which is greater, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 17.5% is higher, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the Sharpe Ratio of 0.56 of SPDR Select Sector Fund - Consumer Discretionary is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.54).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 0.78 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 (1.26)
• Looking at downside risk / excess return profile in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.77).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (8.32 ) in the period of the last 5 years, the Ulcer Index of 17 of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
• Looking at Ulcer Ratio in of 16 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.6 ).

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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -39.7 days of SPDR Select Sector Fund - Consumer Discretionary is lower, thus worse.
• Looking at maximum drop from peak to valley in of -33.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 days).

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.'

• Looking at the maximum days below previous high of 743 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 (488 days)
• During the last 3 years, the maximum days under water is 567 days, which is higher, thus worse than the value of 325 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days below previous high of 244 days of SPDR Select Sector Fund - Consumer Discretionary is larger, thus worse.
• Compared with SPY (90 days) in the period of the last 3 years, the average days below previous high of 229 days is greater, thus worse.