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Consumer Discretionary Select Sector Index (^SIXY)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Consumer Discretionary Select Sector Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Consumer Discretionary Select Sector Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
0.67%
15.11%
^SIXY (Consumer Discretionary Select Sector Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

Consumer Discretionary Select Sector Index had a return of 1.05% year-to-date (YTD) and 9.30% in the last 12 months. Over the past 10 years, Consumer Discretionary Select Sector Index had an annualized return of 10.65%, which was very close to the S&P 500 benchmark's annualized return of 10.82%.


PeriodReturnBenchmark
Year-To-Date1.05%14.75%
1 month1.31%2.85%
6 months-0.05%15.30%
1 year9.30%25.37%
5 years (annualized)8.64%13.19%
10 years (annualized)10.65%10.82%

Monthly Returns

The table below presents the monthly returns of ^SIXY, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.42%7.83%-0.15%-4.67%0.13%1.05%
202315.08%-2.26%2.95%-1.20%2.45%12.22%2.22%-1.80%-5.61%-5.54%10.82%6.13%38.43%
2022-9.48%-4.23%4.38%-11.93%-5.24%-10.95%18.41%-4.60%-8.25%1.07%1.35%-11.49%-36.80%
20210.76%-0.52%4.21%6.46%-3.47%3.45%1.01%1.73%-2.16%12.00%1.62%0.02%27.10%
2020-0.09%-7.82%-15.07%18.95%6.47%2.90%7.16%9.56%-2.03%-2.75%9.89%2.39%28.30%
20199.80%1.20%3.49%5.41%-7.72%7.74%1.18%-1.02%1.02%0.09%1.11%2.69%26.71%
20189.24%-3.56%-2.46%2.27%1.87%3.51%1.71%4.98%0.45%-10.12%2.22%-8.05%0.40%
20174.18%1.82%1.90%2.36%0.98%-1.34%1.76%-2.00%0.75%2.02%4.90%2.28%21.23%
2016-5.19%0.24%6.48%0.05%0.00%-1.33%4.42%-1.42%-0.42%-2.43%4.52%-0.11%4.31%
2015-3.14%8.46%-0.64%-0.09%1.19%0.46%4.71%-6.57%-0.79%8.99%-0.36%-2.97%8.43%
2014-5.97%6.09%-2.93%-1.41%2.73%1.83%-1.37%4.33%-2.92%2.09%5.28%0.75%8.05%
20135.64%0.98%4.76%2.94%2.62%0.75%5.14%-3.00%5.29%4.60%3.33%2.11%40.96%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^SIXY is 31, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^SIXY is 3131
^SIXY (Consumer Discretionary Select Sector Index)
The Sharpe Ratio Rank of ^SIXY is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of ^SIXY is 2929Sortino Ratio Rank
The Omega Ratio Rank of ^SIXY is 3030Omega Ratio Rank
The Calmar Ratio Rank of ^SIXY is 3232Calmar Ratio Rank
The Martin Ratio Rank of ^SIXY is 3232Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Consumer Discretionary Select Sector Index (^SIXY) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^SIXY
Sharpe ratio
The chart of Sharpe ratio for ^SIXY, currently valued at 0.47, compared to the broader market-1.000.001.002.000.47
Sortino ratio
The chart of Sortino ratio for ^SIXY, currently valued at 0.75, compared to the broader market-2.00-1.000.001.002.003.000.75
Omega ratio
The chart of Omega ratio for ^SIXY, currently valued at 1.09, compared to the broader market0.801.001.201.401.09
Calmar ratio
The chart of Calmar ratio for ^SIXY, currently valued at 0.27, compared to the broader market0.001.002.003.004.005.000.27
Martin ratio
The chart of Martin ratio for ^SIXY, currently valued at 1.46, compared to the broader market0.005.0010.0015.0020.001.46
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.19, compared to the broader market-1.000.001.002.002.19
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.10, compared to the broader market-2.00-1.000.001.002.003.003.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.75, compared to the broader market0.001.002.003.004.005.001.75
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.21, compared to the broader market0.005.0010.0015.0020.008.21

Sharpe Ratio

The current Consumer Discretionary Select Sector Index Sharpe ratio is 0.47. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Consumer Discretionary Select Sector Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.47
2.19
^SIXY (Consumer Discretionary Select Sector Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-14.49%
-0.25%
^SIXY (Consumer Discretionary Select Sector Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Consumer Discretionary Select Sector Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Consumer Discretionary Select Sector Index was 40.25%, occurring on Dec 28, 2022. The portfolio has not yet recovered.

The current Consumer Discretionary Select Sector Index drawdown is 14.49%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-40.25%Nov 22, 2021277Dec 28, 2022
-34.15%Feb 21, 202019Mar 18, 202056Jun 8, 202075
-30.37%Jan 7, 200942Mar 9, 200936Apr 29, 200978
-21.67%Sep 21, 201865Dec 24, 201870Apr 5, 2019135
-19.2%Apr 27, 201049Jul 6, 201086Nov 4, 2010135

Volatility

Volatility Chart

The current Consumer Discretionary Select Sector Index volatility is 3.54%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%2024FebruaryMarchAprilMayJune
3.54%
2.37%
^SIXY (Consumer Discretionary Select Sector Index)
Benchmark (^GSPC)