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^SIXR vs. IWM
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXR and IWM is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

^SIXR vs. IWM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Staples Select Sector Index (^SIXR) and iShares Russell 2000 ETF (IWM). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
230.17%
450.51%
^SIXR
IWM

Key characteristics

Sharpe Ratio

^SIXR:

1.10

IWM:

0.69

Sortino Ratio

^SIXR:

1.61

IWM:

1.10

Omega Ratio

^SIXR:

1.19

IWM:

1.13

Calmar Ratio

^SIXR:

0.86

IWM:

0.74

Martin Ratio

^SIXR:

5.58

IWM:

3.63

Ulcer Index

^SIXR:

1.93%

IWM:

3.97%

Daily Std Dev

^SIXR:

9.84%

IWM:

20.85%

Max Drawdown

^SIXR:

-24.93%

IWM:

-59.05%

Current Drawdown

^SIXR:

-5.42%

IWM:

-8.18%

Returns By Period

In the year-to-date period, ^SIXR achieves a 10.34% return, which is significantly lower than IWM's 11.87% return. Over the past 10 years, ^SIXR has underperformed IWM with an annualized return of 4.94%, while IWM has yielded a comparatively higher 7.83% annualized return.


^SIXR

YTD

10.34%

1M

-0.84%

6M

2.80%

1Y

12.32%

5Y*

4.77%

10Y*

4.94%

IWM

YTD

11.87%

1M

-3.62%

6M

11.47%

1Y

12.48%

5Y*

7.37%

10Y*

7.83%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^SIXR vs. IWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Staples Select Sector Index (^SIXR) and iShares Russell 2000 ETF (IWM). 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 ^SIXR, currently valued at 1.36, compared to the broader market0.001.002.001.360.69
The chart of Sortino ratio for ^SIXR, currently valued at 2.01, compared to the broader market-1.000.001.002.003.002.011.10
The chart of Omega ratio for ^SIXR, currently valued at 1.23, compared to the broader market0.901.001.101.201.301.401.231.13
The chart of Calmar ratio for ^SIXR, currently valued at 1.09, compared to the broader market0.001.002.003.001.090.74
The chart of Martin ratio for ^SIXR, currently valued at 6.67, compared to the broader market0.005.0010.0015.0020.006.673.63
^SIXR
IWM

The current ^SIXR Sharpe Ratio is 1.10, which is higher than the IWM Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of ^SIXR and IWM, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
1.36
0.69
^SIXR
IWM

Drawdowns

^SIXR vs. IWM - Drawdown Comparison

The maximum ^SIXR drawdown since its inception was -24.93%, smaller than the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for ^SIXR and IWM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.42%
-8.18%
^SIXR
IWM

Volatility

^SIXR vs. IWM - Volatility Comparison

The current volatility for Consumer Staples Select Sector Index (^SIXR) is 2.78%, while iShares Russell 2000 ETF (IWM) has a volatility of 6.16%. This indicates that ^SIXR experiences smaller price fluctuations and is considered to be less risky than IWM 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%JulyAugustSeptemberOctoberNovemberDecember
2.78%
6.16%
^SIXR
IWM
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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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