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

Correlation

The correlation between XLK and ^XCI is 0.96, 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.


-0.50.00.51.01.0

Performance

XLK vs. ^XCI - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.78%
10.68%
XLK
^XCI

Key characteristics

Sharpe Ratio

XLK:

1.50

^XCI:

2.10

Sortino Ratio

XLK:

2.00

^XCI:

2.71

Omega Ratio

XLK:

1.27

^XCI:

1.36

Calmar Ratio

XLK:

1.93

^XCI:

2.79

Martin Ratio

XLK:

6.63

^XCI:

9.39

Ulcer Index

XLK:

4.93%

^XCI:

4.90%

Daily Std Dev

XLK:

21.78%

^XCI:

21.95%

Max Drawdown

XLK:

-82.05%

^XCI:

-77.19%

Current Drawdown

XLK:

-0.12%

^XCI:

-1.21%

Returns By Period

In the year-to-date period, XLK achieves a 25.78% return, which is significantly lower than ^XCI's 42.77% return. Over the past 10 years, XLK has underperformed ^XCI with an annualized return of 20.90%, while ^XCI has yielded a comparatively higher 22.84% annualized return.


XLK

YTD

25.78%

1M

1.55%

6M

12.10%

1Y

29.98%

5Y (annualized)

23.72%

10Y (annualized)

20.90%

^XCI

YTD

42.77%

1M

0.61%

6M

10.68%

1Y

46.36%

5Y (annualized)

27.76%

10Y (annualized)

22.84%

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Risk-Adjusted Performance

XLK vs. ^XCI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Technology Select Sector SPDR Fund (XLK) and ARCA Computer Technology Index (^XCI). 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 XLK, currently valued at 1.38, compared to the broader market0.002.004.001.382.10
The chart of Sortino ratio for XLK, currently valued at 1.87, compared to the broader market-2.000.002.004.006.008.0010.0012.001.872.71
The chart of Omega ratio for XLK, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.36
The chart of Calmar ratio for XLK, currently valued at 1.77, compared to the broader market0.005.0010.0015.001.772.79
The chart of Martin ratio for XLK, currently valued at 6.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.099.39
XLK
^XCI

The current XLK Sharpe Ratio is 1.50, which is comparable to the ^XCI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of XLK and ^XCI, 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
1.38
2.10
XLK
^XCI

Drawdowns

XLK vs. ^XCI - Drawdown Comparison

The maximum XLK drawdown since its inception was -82.05%, which is greater than ^XCI's maximum drawdown of -77.19%. Use the drawdown chart below to compare losses from any high point for XLK and ^XCI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.12%
-1.21%
XLK
^XCI

Volatility

XLK vs. ^XCI - Volatility Comparison

The current volatility for Technology Select Sector SPDR Fund (XLK) is 4.13%, while ARCA Computer Technology Index (^XCI) has a volatility of 4.55%. This indicates that XLK experiences smaller price fluctuations and is considered to be less risky than ^XCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
4.13%
4.55%
XLK
^XCI
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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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