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

Key characteristics


BCEXLU
YTD Return-21.22%24.74%
1Y Return-20.85%28.91%
3Y Return (Ann)-11.27%8.07%
5Y Return (Ann)-3.50%7.59%
10Y Return (Ann)1.28%8.79%
Sharpe Ratio-1.031.86
Sortino Ratio-1.302.62
Omega Ratio0.821.33
Calmar Ratio-0.461.43
Martin Ratio-1.419.33
Ulcer Index13.65%3.18%
Daily Std Dev18.45%15.94%
Max Drawdown-60.66%-52.27%
Current Drawdown-41.28%-6.09%

Correlation

-0.50.00.51.00.3

The correlation between BCE and XLU is 0.33, 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. XLU - Performance Comparison

In the year-to-date period, BCE achieves a -21.22% return, which is significantly lower than XLU's 24.74% return. Over the past 10 years, BCE has underperformed XLU with an annualized return of 1.28%, while XLU has yielded a comparatively higher 8.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
-9.43%
13.95%
BCE
XLU

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Risk-Adjusted Performance

BCE vs. XLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BCE Inc. (BCE) and Utilities Select Sector SPDR Fund (XLU). 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 -1.03, compared to the broader market-4.00-2.000.002.00-1.03
Sortino ratio
The chart of Sortino ratio for BCE, currently valued at -1.30, compared to the broader market-4.00-2.000.002.004.00-1.30
Omega ratio
The chart of Omega ratio for BCE, currently valued at 0.82, compared to the broader market0.501.001.502.000.82
Calmar ratio
The chart of Calmar ratio for BCE, currently valued at -0.46, compared to the broader market0.002.004.006.00-0.46
Martin ratio
The chart of Martin ratio for BCE, currently valued at -1.41, compared to the broader market-10.000.0010.0020.0030.00-1.41
XLU
Sharpe ratio
The chart of Sharpe ratio for XLU, currently valued at 1.86, compared to the broader market-4.00-2.000.002.001.86
Sortino ratio
The chart of Sortino ratio for XLU, currently valued at 2.62, compared to the broader market-4.00-2.000.002.004.002.62
Omega ratio
The chart of Omega ratio for XLU, currently valued at 1.33, compared to the broader market0.501.001.502.001.33
Calmar ratio
The chart of Calmar ratio for XLU, currently valued at 1.43, compared to the broader market0.002.004.006.001.43
Martin ratio
The chart of Martin ratio for XLU, currently valued at 9.33, compared to the broader market-10.000.0010.0020.0030.009.33

BCE vs. XLU - Sharpe Ratio Comparison

The current BCE Sharpe Ratio is -1.03, which is lower than the XLU Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of BCE and XLU, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-1.03
1.86
BCE
XLU

Dividends

BCE vs. XLU - Dividend Comparison

BCE's dividend yield for the trailing twelve months is around 9.96%, more than XLU's 2.86% yield.


TTM20232022202120202019201820172016201520142013
BCE
BCE Inc.
9.96%7.30%6.37%5.32%5.78%5.15%5.81%4.63%4.81%5.18%4.83%5.20%
XLU
Utilities Select Sector SPDR Fund
2.86%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%

Drawdowns

BCE vs. XLU - Drawdown Comparison

The maximum BCE drawdown since its inception was -60.66%, which is greater than XLU's maximum drawdown of -52.27%. Use the drawdown chart below to compare losses from any high point for BCE and XLU. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-41.28%
-6.09%
BCE
XLU

Volatility

BCE vs. XLU - Volatility Comparison

BCE Inc. (BCE) has a higher volatility of 10.19% compared to Utilities Select Sector SPDR Fund (XLU) at 5.54%. This indicates that BCE's price experiences larger fluctuations and is considered to be riskier than XLU 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%JuneJulyAugustSeptemberOctoberNovember
10.19%
5.54%
BCE
XLU