Description of SPDR Select Sector Fund - Consumer Discretionary

SPDR Select Sector Fund - Consumer Discretionary ETF

Statistics of SPDR Select Sector Fund - Consumer Discretionary (YTD)

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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 (65.8%) in the period of the last 5 years, the total return, or increase in value of 92.4% of SPDR Select Sector Fund - Consumer Discretionary is higher, thus better.
  • During the last 3 years, the total return, or increase in value is 62.2%, which is higher, thus better than the value of 48.8% 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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 14% in the last 5 years of SPDR Select Sector Fund - Consumer Discretionary, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.6%)
  • Looking at annual performance (CAGR) in of 17.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (14.2%).

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.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 15.1% 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 (13.6%)
  • During the last 3 years, the historical 30 days volatility is 14.6%, which is higher, thus worse than the value of 12.8% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • The downside volatility over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 16.9%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
  • Looking at downside deviation in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.6%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.76 of SPDR Select Sector Fund - Consumer Discretionary is larger, thus better.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.03, which is greater, thus better than the value of 0.91 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.54) in the period of the last 5 years, the excess return divided by the downside deviation of 0.68 of SPDR Select Sector Fund - Consumer Discretionary is larger, thus better.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.9, which is larger, thus better than the value of 0.8 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (4.03 ) in the period of the last 5 years, the Ulcer Index of 4.44 of SPDR Select Sector Fund - Consumer Discretionary is higher, thus worse.
  • During the last 3 years, the Downside risk index is 4.53 , which is higher, thus worse than the value of 4.1 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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of SPDR Select Sector Fund - Consumer Discretionary is -21.4 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -21.4 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of SPDR Select Sector Fund - Consumer Discretionary is 154 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 34 days of SPDR Select Sector Fund - Consumer Discretionary is smaller, thus better.
  • Compared with SPY (35 days) in the period of the last 3 years, the average time in days below previous high water mark of 30 days is lower, thus better.

Performance of SPDR Select Sector Fund - Consumer Discretionary (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR Select Sector Fund - Consumer Discretionary
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Allocations

Returns of SPDR Select Sector Fund - Consumer Discretionary (%)

  • "Year" returns in the table above are not equal to 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.