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

Correlation

The correlation between BMO and XLF is 0.55, 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.


Performance

BMO vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bank of Montreal (BMO) and Financial Select Sector SPDR Fund (XLF). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%December2025FebruaryMarchAprilMay
1,406.97%
488.12%
BMO
XLF

Key characteristics

Sharpe Ratio

BMO:

0.53

XLF:

1.12

Sortino Ratio

BMO:

0.78

XLF:

1.65

Omega Ratio

BMO:

1.12

XLF:

1.24

Calmar Ratio

BMO:

0.43

XLF:

1.50

Martin Ratio

BMO:

1.52

XLF:

5.72

Ulcer Index

BMO:

7.75%

XLF:

4.07%

Daily Std Dev

BMO:

22.83%

XLF:

20.23%

Max Drawdown

BMO:

-68.43%

XLF:

-82.43%

Current Drawdown

BMO:

-5.73%

XLF:

-4.12%

Returns By Period

In the year-to-date period, BMO achieves a 4.50% return, which is significantly higher than XLF's 3.54% return. Over the past 10 years, BMO has underperformed XLF with an annualized return of 8.97%, while XLF has yielded a comparatively higher 14.13% annualized return.


BMO

YTD

4.50%

1M

14.57%

6M

8.79%

1Y

12.00%

5Y*

20.44%

10Y*

8.97%

XLF

YTD

3.54%

1M

13.52%

6M

3.09%

1Y

22.43%

5Y*

19.75%

10Y*

14.13%

*Annualized

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Risk-Adjusted Performance

BMO vs. XLF — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BMO
The Risk-Adjusted Performance Rank of BMO is 6767
Overall Rank
The Sharpe Ratio Rank of BMO is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of BMO is 6060
Sortino Ratio Rank
The Omega Ratio Rank of BMO is 6363
Omega Ratio Rank
The Calmar Ratio Rank of BMO is 7171
Calmar Ratio Rank
The Martin Ratio Rank of BMO is 7070
Martin Ratio Rank

XLF
The Risk-Adjusted Performance Rank of XLF is 8686
Overall Rank
The Sharpe Ratio Rank of XLF is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of XLF is 8484
Sortino Ratio Rank
The Omega Ratio Rank of XLF is 8686
Omega Ratio Rank
The Calmar Ratio Rank of XLF is 8989
Calmar Ratio Rank
The Martin Ratio Rank of XLF is 8787
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

BMO vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bank of Montreal (BMO) 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.


The current BMO Sharpe Ratio is 0.53, which is lower than the XLF Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of BMO 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 Ratio0.001.002.003.004.00December2025FebruaryMarchAprilMay
0.53
1.12
BMO
XLF

Dividends

BMO vs. XLF - Dividend Comparison

BMO's dividend yield for the trailing twelve months is around 4.53%, more than XLF's 1.43% yield.


TTM20242023202220212020201920182017201620152014
BMO
Bank of Montreal
4.53%4.62%4.34%4.64%3.16%4.12%3.96%4.52%3.42%3.56%4.53%3.94%
XLF
Financial Select Sector SPDR Fund
1.43%1.42%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%

Drawdowns

BMO vs. XLF - Drawdown Comparison

The maximum BMO drawdown since its inception was -68.43%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for BMO and XLF. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-5.73%
-4.12%
BMO
XLF

Volatility

BMO vs. XLF - Volatility Comparison

The current volatility for Bank of Montreal (BMO) is 6.66%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 9.44%. This indicates that BMO 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
6.66%
9.44%
BMO
XLF