Health Care Select Sector SPDR Fund (XLV)

NYSE Arca
USD
22 December 1998  –  21 January 2022

Performance

Annualized Return
8.93%
Sharpe Ratio
0.55
Maximum Drawdown
-39.17%

Metrics

Metric Health Care Select Sector SPDR Fund
Initial Balance $10,000
Final Balance $72,117
Returns
Month-To-Date -8.11%
Year-To-Date -8.11%
3M -0.49%
6M 1.09%
Annual Return (1Y) 10.87%
Annual Return (3Y) 14.94%
Annual Return (5Y) 15.11%
Annual Return (10Y) 15.68%
Annual Return (All) 8.93%
Enh Ann Return 9.07%
Best Year 41.4%
Worst Year -23.31%
Risk
Annual Volatility 18.6%
Max Drawdown -39.17%
Sharpe Ratio 0.55
Sortino Ratio 0.8
Adjusted Sortino (S/√2) 0.57
Ulcer Index 0.1
Gain to Pain Ratio 0.11

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on December 1998.
  • Final balance: The amount of capital we've accrued over time as of January 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 23 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Chart

Table

Year Health Care Select Sector SPDR Fund
1998 3.88%
1999 19.51%
2000 -11.6%
2001 -0.82%
2002 -0.75%
2003 14.92%
2004 1.28%
2005 6.41%
2006 7.06%
2007 7.15%
2008 -23.31%
2009 19.51%
2010 3.3%
2011 12.39%
2012 17.37%
2013 41.4%
2014 25.14%
2015 6.84%
2016 -2.76%
2017 21.77%
2018 6.28%
2019 20.45%
2020 13.34%
2021 26.03%
2022 -8.11%

Health Care Select Sector SPDR Fund had 19 positive years and 6 negative years. That's a positive ratio of 76%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1998 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 3.9% 3.9%
1999 4.8% 0.1% 2.6% 3.6% -3.1% 4.4% -3% -4.5% -1.4% 5.1% 1.2% 9% 19.7%
2000 -2.5% -6.5% 9% -1.2% -2.7% 0.2% -1.5% 3.5% -3.6% 1.5% -9.1% 1.9% -8.9%
2001 7.2% -1.9% -6.4% 7.4% 3.8% -1.1% -2% -5.1% -14.5% 0.5% 11.6% 2.4% 2.3%
2002 -0.7% 4.6% 5.8% -0.6% 1.4% -7.2% -2.9% 1% -6.2% 5.8% 3.1% -3.8% 2.6%
2003 -0.3% -2.2% 3.6% 3.3% 2.1% 4.4% -1.5% -3.7% 0.3% 0.7% 2.1% 5.8% 15.2%
2004 2.8% 1.1% -4.2% 3.1% -0.3% -0.4% -5.4% 1.6% -1.8% -2.2% 2% 5.5% 2.1%
2005 -3.1% 3% -0.6% 3.5% 1.3% -0.5% 2.3% -0.3% -0.6% -3.1% 1.2% 3.5% 6.8%
2006 1.3% 1.2% -1.3% -3.1% -2.1% 0% 5.5% 2.9% 1.5% 0.3% -0.1% 1% 7.3%
2007 3% -2.4% 0.3% 7.3% 1.7% -3.4% -4.8% 2.3% 3.1% 1.9% 1.3% -2.8% 7.6%
2008 -4.6% -2.7% -4.5% 1% 1.9% -4.2% 4.5% 2.3% -6.4% -10.8% -8.2% 7.2% -21.3%
2009 -1.2% -12.4% 6% -0.1% 6.8% 2.4% 5.9% 2.7% 0.6% -2.1% 9.3% 1.8% 19.8%
2010 0.7% 0.4% 2.7% -3.9% -6.5% -1.8% 1.3% -1.6% 9.1% 2.2% -2.9% 4.6% 4.4%
2011 0.6% 3.1% 1.8% 6.4% 2.5% -1.1% -4% -2.1% -4.5% 5.8% 1% 3% 13.6%
2012 3.2% 1.1% 4.5% -0.3% -3.6% 5.7% 1% 1.2% 3.8% -0.2% 0.5% -0.4% 16.6%
2013 7.6% 1.3% 6.3% 2.9% 1.6% -0.6% 7.2% -3.5% 3.2% 4.3% 4.7% 0.7% 35.4%
2014 0.9% 6.2% -1.3% -0.6% 2.9% 2.1% 0.1% 4.8% 0.4% 5.3% 3.5% -1.4% 23.9%
2015 1.3% 4.3% 0.6% -1.1% 4.5% -0.4% 3% -8% -5.7% 7.7% -0.3% 1.7% 8.3%
2016 -7.7% -0.4% 2.7% 3% 2.2% 0.9% 4.9% -3.2% -0.5% -6.6% 2.1% 0.7% -1.6%
2017 2.3% 6.3% -0.5% 1.5% 0.8% 4.6% 0.8% 1.8% 0.9% -0.8% 2.9% -0.6% 20.1%
2018 6.6% -4.5% -2.9% 1.1% 0.2% 1.6% 6.6% 4.3% 3% -6.8% 8.1% -9.3% 7.6%
2019 4.8% 1.1% 0.5% -2.7% -2.2% 6.6% -1.6% -0.6% -0.1% 5.1% 5% 3.5% 19.5%
2020 -2.7% -6.6% -3.9% 12.6% 3.3% -2.4% 5.5% 2.6% -2.2% -3.6% 7.9% 3.8% 17.2%
2021 1.4% -2.1% 4% 3.9% 1.9% 2.3% 4.9% 2.3% -5.5% 5.1% -3.1% 9% 23.8%
2022 -8.1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -8.4%
Pos 62.5% 56.5% 60.9% 60.9% 69.6% 52.2% 60.9% 56.5% 43.5% 60.9% 73.9% 75% 84%
Avg 0.7% -0.3% 1.1% 2% 0.8% 0.5% 1.2% 0% -1.2% 0.7% 1.9% 2.1% 9.5%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Health Care Select Sector SPDR Fund

start valley end Drawdown days
2007-12-11 2009-03-09 2011-04-26 -39.17% 1232
2000-01-11 2001-09-20 2005-06-16 -33.13% 1983
2020-01-23 2020-03-23 2020-07-15 -28.39% 174
2011-05-19 2011-08-10 2012-01-18 -17.34% 244
2015-07-21 2016-02-11 2017-03-01 -17.08% 589

The Health Care Select Sector SPDR Fund took approximately 28 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

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