PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^SIXY vs. ^AW01
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXY and ^AW01 is 0.76, 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.


-0.50.00.51.00.8

Performance

^SIXY vs. ^AW01 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Discretionary Select Sector Index (^SIXY) and FTSE All World (^AW01). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
25.94%
5.28%
^SIXY
^AW01

Key characteristics

Sharpe Ratio

^SIXY:

1.57

^AW01:

1.75

Sortino Ratio

^SIXY:

2.14

^AW01:

2.34

Omega Ratio

^SIXY:

1.28

^AW01:

1.33

Calmar Ratio

^SIXY:

1.47

^AW01:

2.16

Martin Ratio

^SIXY:

7.75

^AW01:

10.02

Ulcer Index

^SIXY:

3.73%

^AW01:

1.77%

Daily Std Dev

^SIXY:

18.28%

^AW01:

10.06%

Max Drawdown

^SIXY:

-40.25%

^AW01:

-59.48%

Current Drawdown

^SIXY:

-4.45%

^AW01:

-3.38%

Returns By Period

In the year-to-date period, ^SIXY achieves a 27.77% return, which is significantly higher than ^AW01's 15.76% return. Over the past 10 years, ^SIXY has outperformed ^AW01 with an annualized return of 12.29%, while ^AW01 has yielded a comparatively lower 6.96% annualized return.


^SIXY

YTD

27.77%

1M

6.50%

6M

25.35%

1Y

26.38%

5Y*

12.86%

10Y*

12.29%

^AW01

YTD

15.76%

1M

-0.41%

6M

5.31%

1Y

16.93%

5Y*

8.05%

10Y*

6.96%

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

^SIXY vs. ^AW01 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector Index (^SIXY) and FTSE All World (^AW01). 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 ^SIXY, currently valued at 1.64, compared to the broader market0.001.002.001.641.63
The chart of Sortino ratio for ^SIXY, currently valued at 2.22, compared to the broader market-1.000.001.002.003.002.222.19
The chart of Omega ratio for ^SIXY, currently valued at 1.29, compared to the broader market0.901.001.101.201.301.401.291.31
The chart of Calmar ratio for ^SIXY, currently valued at 1.51, compared to the broader market0.001.002.003.001.512.00
The chart of Martin ratio for ^SIXY, currently valued at 7.95, compared to the broader market0.005.0010.0015.0020.007.958.92
^SIXY
^AW01

The current ^SIXY Sharpe Ratio is 1.57, which is comparable to the ^AW01 Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of ^SIXY and ^AW01, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.64
1.63
^SIXY
^AW01

Drawdowns

^SIXY vs. ^AW01 - Drawdown Comparison

The maximum ^SIXY drawdown since its inception was -40.25%, smaller than the maximum ^AW01 drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for ^SIXY and ^AW01. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.45%
-3.38%
^SIXY
^AW01

Volatility

^SIXY vs. ^AW01 - Volatility Comparison

Consumer Discretionary Select Sector Index (^SIXY) has a higher volatility of 6.25% compared to FTSE All World (^AW01) at 2.77%. This indicates that ^SIXY's price experiences larger fluctuations and is considered to be riskier than ^AW01 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
6.25%
2.77%
^SIXY
^AW01
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab