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BMO vs. XLF

Last updated May 27, 2023

Compare and contrast key facts about Bank of Montreal (BMO) and Financial Select Sector SPDR Fund (XLF).

XLF is a passively managed fund by State Street that tracks the performance of the Financial Select Sector Index. It was launched on Dec 16, 1998.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BMO or XLF.

Key characteristics


BMOXLF
YTD Return-4.84%-5.65%
1Y Return-16.70%-6.20%
5Y Return (Ann)5.88%5.05%
10Y Return (Ann)7.59%11.63%
Sharpe Ratio-0.60-0.18
Daily Std Dev25.10%22.62%
Max Drawdown-68.44%-82.43%

Correlation

0.57
-1.001.00

The correlation between BMO and XLF is 0.57, 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.

BMO vs. XLF - Performance Comparison

In the year-to-date period, BMO achieves a -4.84% return, which is significantly lower than XLF's -5.65% return. Over the past 10 years, BMO has underperformed XLF with an annualized return of 7.59%, while XLF has yielded a comparatively higher 11.63% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%400.00%600.00%800.00%1,000.00%1,200.00%December2023FebruaryMarchAprilMay
1,061.62%
266.37%
BMO
XLF

Compare stocks, funds, or ETFs


Bank of Montreal

Financial Select Sector SPDR Fund

BMO vs. XLF - Dividend Comparison

BMO's dividend yield for the trailing twelve months is around 7.50%, more than XLF's 2.65% yield.


TTM20222021202020192018201720162015201420132012
BMO
Bank of Montreal
7.50%4.74%3.36%4.54%4.61%5.47%4.30%4.64%6.16%5.58%6.36%7.15%
XLF
Financial Select Sector SPDR Fund
2.65%2.05%1.67%2.12%2.00%2.28%1.65%1.85%2.78%2.34%2.19%2.67%

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
BMO
Bank of Montreal
-0.60
XLF
Financial Select Sector SPDR Fund
-0.18

BMO vs. XLF - Sharpe Ratio Comparison

The current BMO Sharpe Ratio is -0.60, which is lower than the XLF Sharpe Ratio of -0.18. The chart below compares the 12-month rolling Sharpe Ratio of BMO and XLF.


-1.20-1.00-0.80-0.60-0.40-0.200.00December2023FebruaryMarchAprilMay
-0.60
-0.18
BMO
XLF

BMO vs. XLF - Drawdown Comparison

The maximum BMO drawdown for the period was -28.50%, roughly equal to the maximum XLF drawdown of -23.65%. The drawdown chart below compares losses from any high point along the way for BMO and XLF


-30.00%-25.00%-20.00%-15.00%-10.00%December2023FebruaryMarchAprilMay
-27.29%
-20.47%
BMO
XLF

BMO vs. XLF - Volatility Comparison

Bank of Montreal (BMO) has a higher volatility of 8.65% compared to Financial Select Sector SPDR Fund (XLF) at 5.20%. This indicates that BMO's price experiences larger fluctuations and is considered to be riskier 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%7.00%8.00%9.00%10.00%December2023FebruaryMarchAprilMay
8.65%
5.20%
BMO
XLF