Description

SPDR Select Sector Fund - Consumer Discretionary ETF

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (62.9%) in the period of the last 5 years, the total return, or performance of 73.5% of SPDR Select Sector Fund - Consumer Discretionary is larger, thus better.
  • During the last 3 years, the total return, or increase in value is 46.5%, which is higher, thus better than the value of 39.8% 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:
  • The annual performance (CAGR) over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 11.7%, which is greater, thus better compared to the benchmark SPY (10.3%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 13.6%, which is greater, thus better than the value of 11.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 14.9% of SPDR Select Sector Fund - Consumer Discretionary is greater, thus worse.
  • Looking at 30 days standard deviation in of 14.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.3%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 10.7% 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 (9.8%)
  • Compared with SPY (9.8%) in the period of the last 3 years, the downside volatility of 10.7% is greater, 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:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.61 of SPDR Select Sector Fund - Consumer Discretionary is greater, thus better.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.74, which is higher, thus better than the value of 0.71 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.85 in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.79)
  • Looking at ratio of annual return and downside deviation in of 1.04 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.96).

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 4.42 , which is greater, thus worse compared to the benchmark SPY (3.98 ) in the same period.
  • During the last 3 years, the Downside risk index is 4.59 , which is higher, thus worse than the value of 4.12 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -21.4 days of SPDR Select Sector Fund - Consumer Discretionary is lower, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -21.4 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

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.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 154 days, which is smaller, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days under water in of 133 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 37 days, which is lower, thus better compared to the benchmark SPY (42 days) in the same period.
  • Looking at average days under water in of 36 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (37 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of SPDR Select Sector Fund - Consumer Discretionary 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.