SPDR Select Sector Fund - Consumer Discretionary (XLY)

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.'

• The total return, or increase in value over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 44.2%, which is lower, thus worse compared to the benchmark SPY (89.7%) in the same period.
• During the last 3 years, the total return, or increase in value is 63.1%, which is smaller, thus worse than the value of 76.4% 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.'

• Looking at the annual return (CAGR) of 7.6% 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 (13.7%)
• Compared with SPY (21%) in the period of the last 3 years, the annual performance (CAGR) of 17.8% 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 volatility of 23.7% 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 (17%)
• Compared with SPY (15.2%) in the period of the last 3 years, the volatility of 20.7% is higher, thus worse.

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.'

• The downside volatility over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 16.8%, which is higher, thus worse compared to the benchmark SPY (11.7%) in the same period.
• During the last 3 years, the downside volatility is 14.1%, which is higher, thus worse than the value of 10.2% from the benchmark.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.22 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 (0.66)
• Looking at ratio of return and volatility (Sharpe) in of 0.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.22).

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 0.3 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 (0.96)
• Looking at excess return divided by the downside deviation in of 1.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.82).

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 Ulcer Index over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 17 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Ulcer Index is 6.78 , which is larger, thus worse than the value of 3.48 from the benchmark.

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 (-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.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -26 days is smaller, thus worse.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 743 days of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 182 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 time in days below previous high water mark of 248 days of SPDR Select Sector Fund - Consumer Discretionary is larger, thus worse.
• Looking at average time in days below previous high water mark in of 46 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (19 days).