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^SIXB vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXB and VOO is 0.80, 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.


Performance

^SIXB vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Materials Select Sector Index (^SIXB) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^SIXB:

-0.27

VOO:

0.60

Sortino Ratio

^SIXB:

-0.33

VOO:

0.88

Omega Ratio

^SIXB:

0.96

VOO:

1.13

Calmar Ratio

^SIXB:

-0.26

VOO:

0.56

Martin Ratio

^SIXB:

-0.71

VOO:

2.13

Ulcer Index

^SIXB:

8.67%

VOO:

4.91%

Daily Std Dev

^SIXB:

19.53%

VOO:

19.46%

Max Drawdown

^SIXB:

-60.98%

VOO:

-33.99%

Current Drawdown

^SIXB:

-12.32%

VOO:

-5.22%

Returns By Period

In the year-to-date period, ^SIXB achieves a 1.67% return, which is significantly higher than VOO's -0.85% return. Over the past 10 years, ^SIXB has underperformed VOO with an annualized return of 5.47%, while VOO has yielded a comparatively higher 12.64% annualized return.


^SIXB

YTD

1.67%

1M

3.54%

6M

-9.83%

1Y

-6.16%

3Y*

1.03%

5Y*

10.18%

10Y*

5.47%

VOO

YTD

-0.85%

1M

5.19%

6M

-2.42%

1Y

10.85%

3Y*

15.45%

5Y*

16.18%

10Y*

12.64%

*Annualized

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Materials Select Sector Index

Vanguard S&P 500 ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

^SIXB vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SIXB
The Risk-Adjusted Performance Rank of ^SIXB is 1313
Overall Rank
The Sharpe Ratio Rank of ^SIXB is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SIXB is 1313
Sortino Ratio Rank
The Omega Ratio Rank of ^SIXB is 1313
Omega Ratio Rank
The Calmar Ratio Rank of ^SIXB is 1010
Calmar Ratio Rank
The Martin Ratio Rank of ^SIXB is 1414
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6262
Overall Rank
The Sharpe Ratio Rank of VOO is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 5959
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6565
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6363
Martin 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.

^SIXB vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Materials Select Sector Index (^SIXB) and Vanguard S&P 500 ETF (VOO). 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.


The current ^SIXB Sharpe Ratio is -0.27, which is lower than the VOO Sharpe Ratio of 0.60. The chart below compares the historical Sharpe Ratios of ^SIXB and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

^SIXB vs. VOO - Drawdown Comparison

The maximum ^SIXB drawdown since its inception was -60.98%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^SIXB and VOO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

^SIXB vs. VOO - Volatility Comparison

Materials Select Sector Index (^SIXB) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.30% and 4.44%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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