Description

The investment seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index. The Trust seeks to achieve its investment objective by holding a portfolio of the common stocks that are included in the index (Portfolio), with the weight of each stock in the Portfolio substantially corresponding to the weight of such stock in the index.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (124.4%) in the period of the last 5 years, the total return, or increase in value of 124.4% of SPDR S&P 500 is higher, thus better.
  • Compared with SPY (50.8%) in the period of the last 3 years, the total return, or increase in value of 50.8% is higher, thus better.

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.'

Which means for our asset as example:
  • The annual performance (CAGR) over 5 years of SPDR S&P 500 is 17.5%, which is greater, thus better compared to the benchmark SPY (17.5%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the annual return (CAGR) of 14.7% is larger, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of SPDR S&P 500 is 18.6%, which is higher, thus worse compared to the benchmark SPY (18.6%) in the same period.
  • Compared with SPY (22.6%) in the period of the last 3 years, the volatility of 22.6% is larger, 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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 13.5% in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
  • During the last 3 years, the downside deviation is 16.5%, which is greater, thus worse than the value of 16.5% from the benchmark.

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:
  • The risk / return profile (Sharpe) over 5 years of SPDR S&P 500 is 0.81, which is higher, thus better compared to the benchmark SPY (0.81) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.54 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.54).

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 1.11 in the last 5 years of SPDR S&P 500, we see it is relatively larger, thus better in comparison to the benchmark SPY (1.11)
  • Looking at ratio of annual return and downside deviation in of 0.74 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.74).

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 Ratio over 5 years of SPDR S&P 500 is 5.58 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • Compared with SPY (6.92 ) in the period of the last 3 years, the Downside risk index of 6.92 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.'

Which means for our asset as example:
  • The maximum drop from peak to valley over 5 years of SPDR S&P 500 is -33.7 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -33.7 days is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of SPDR S&P 500 is 139 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 139 days, which is greater, thus worse than the value of 139 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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of SPDR S&P 500 is 33 days, which is greater, thus worse compared to the benchmark SPY (33 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 higher, thus worse in comparison to SPY (36 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of SPDR S&P 500 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.