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BCE vs. XLF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BCEXLF
YTD Return-13.16%25.45%
1Y Return-12.75%40.33%
3Y Return (Ann)-8.83%7.26%
5Y Return (Ann)-1.58%11.84%
10Y Return (Ann)2.37%13.66%
Sharpe Ratio-0.493.63
Sortino Ratio-0.604.75
Omega Ratio0.931.62
Calmar Ratio-0.212.73
Martin Ratio-0.6023.79
Ulcer Index13.55%1.91%
Daily Std Dev16.40%12.56%
Max Drawdown-60.66%-82.43%
Current Drawdown-35.27%-2.06%

Correlation

-0.50.00.51.00.4

The correlation between BCE and XLF is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

BCE vs. XLF - Performance Comparison

In the year-to-date period, BCE achieves a -13.16% return, which is significantly lower than XLF's 25.45% return. Over the past 10 years, BCE has underperformed XLF with an annualized return of 2.37%, while XLF has yielded a comparatively higher 13.66% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%JuneJulyAugustSeptemberOctoberNovember
1,211.86%
445.77%
BCE
XLF

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Risk-Adjusted Performance

BCE vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BCE Inc. (BCE) and Financial Select Sector SPDR Fund (XLF). 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.


BCE
Sharpe ratio
The chart of Sharpe ratio for BCE, currently valued at -0.49, compared to the broader market-4.00-2.000.002.004.00-0.49
Sortino ratio
The chart of Sortino ratio for BCE, currently valued at -0.60, compared to the broader market-4.00-2.000.002.004.00-0.60
Omega ratio
The chart of Omega ratio for BCE, currently valued at 0.93, compared to the broader market0.501.001.502.000.93
Calmar ratio
The chart of Calmar ratio for BCE, currently valued at -0.21, compared to the broader market0.002.004.006.00-0.21
Martin ratio
The chart of Martin ratio for BCE, currently valued at -0.60, compared to the broader market0.0010.0020.0030.00-0.60
XLF
Sharpe ratio
The chart of Sharpe ratio for XLF, currently valued at 3.63, compared to the broader market-4.00-2.000.002.004.003.63
Sortino ratio
The chart of Sortino ratio for XLF, currently valued at 4.75, compared to the broader market-4.00-2.000.002.004.004.75
Omega ratio
The chart of Omega ratio for XLF, currently valued at 1.62, compared to the broader market0.501.001.502.001.62
Calmar ratio
The chart of Calmar ratio for XLF, currently valued at 2.73, compared to the broader market0.002.004.006.002.73
Martin ratio
The chart of Martin ratio for XLF, currently valued at 23.79, compared to the broader market0.0010.0020.0030.0023.79

BCE vs. XLF - Sharpe Ratio Comparison

The current BCE Sharpe Ratio is -0.49, which is lower than the XLF Sharpe Ratio of 3.63. The chart below compares the historical Sharpe Ratios of BCE and XLF, 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 Ratio-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.49
3.63
BCE
XLF

Dividends

BCE vs. XLF - Dividend Comparison

BCE's dividend yield for the trailing twelve months is around 9.03%, more than XLF's 1.42% yield.


TTM20232022202120202019201820172016201520142013
BCE
BCE Inc.
9.03%7.30%6.37%5.32%5.78%5.15%5.81%4.63%4.81%5.18%4.83%5.20%
XLF
Financial Select Sector SPDR Fund
1.42%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%

Drawdowns

BCE vs. XLF - Drawdown Comparison

The maximum BCE drawdown since its inception was -60.66%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for BCE and XLF. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-35.27%
-2.06%
BCE
XLF

Volatility

BCE vs. XLF - Volatility Comparison

The current volatility for BCE Inc. (BCE) is 3.70%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 4.18%. This indicates that BCE experiences smaller price fluctuations and is considered to be less risky than XLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.70%
4.18%
BCE
XLF