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^NYA vs. XLK
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NYA and XLK is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

^NYA vs. XLK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NYSE Composite (^NYA) and Technology Select Sector SPDR Fund (XLK). The values are adjusted to include any dividend payments, if applicable.

200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
212.43%
880.50%
^NYA
XLK

Key characteristics

Sharpe Ratio

^NYA:

1.48

XLK:

1.13

Sortino Ratio

^NYA:

2.07

XLK:

1.58

Omega Ratio

^NYA:

1.26

XLK:

1.21

Calmar Ratio

^NYA:

2.41

XLK:

1.48

Martin Ratio

^NYA:

8.44

XLK:

5.07

Ulcer Index

^NYA:

1.85%

XLK:

4.94%

Daily Std Dev

^NYA:

10.58%

XLK:

22.08%

Max Drawdown

^NYA:

-59.01%

XLK:

-82.05%

Current Drawdown

^NYA:

-5.69%

XLK:

-2.27%

Returns By Period

In the year-to-date period, ^NYA achieves a 13.45% return, which is significantly lower than XLK's 23.23% return. Over the past 10 years, ^NYA has underperformed XLK with an annualized return of 5.74%, while XLK has yielded a comparatively higher 20.32% annualized return.


^NYA

YTD

13.45%

1M

-3.19%

6M

6.24%

1Y

14.32%

5Y*

6.61%

10Y*

5.74%

XLK

YTD

23.23%

1M

1.06%

6M

3.67%

1Y

23.50%

5Y*

22.06%

10Y*

20.32%

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Risk-Adjusted Performance

^NYA vs. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NYSE Composite (^NYA) and Technology Select Sector SPDR Fund (XLK). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for ^NYA, currently valued at 1.48, compared to the broader market0.001.002.001.481.13
The chart of Sortino ratio for ^NYA, currently valued at 2.07, compared to the broader market-1.000.001.002.003.002.071.58
The chart of Omega ratio for ^NYA, currently valued at 1.26, compared to the broader market0.901.001.101.201.301.401.261.21
The chart of Calmar ratio for ^NYA, currently valued at 2.41, compared to the broader market0.001.002.003.002.411.48
The chart of Martin ratio for ^NYA, currently valued at 8.44, compared to the broader market0.005.0010.0015.0020.008.445.07
^NYA
XLK

The current ^NYA Sharpe Ratio is 1.48, which is higher than the XLK Sharpe Ratio of 1.13. The chart below compares the historical Sharpe Ratios of ^NYA and XLK, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.48
1.13
^NYA
XLK

Drawdowns

^NYA vs. XLK - Drawdown Comparison

The maximum ^NYA drawdown since its inception was -59.01%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for ^NYA and XLK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.69%
-2.27%
^NYA
XLK

Volatility

^NYA vs. XLK - Volatility Comparison

The current volatility for NYSE Composite (^NYA) is 3.52%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 5.40%. This indicates that ^NYA experiences smaller price fluctuations and is considered to be less risky than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
3.52%
5.40%
^NYA
XLK
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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