BMO vs. XLF
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
| BMO | XLF | |
|---|---|---|
| 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 Dev | 25.10% | 22.62% |
| Max Drawdown | -68.44% | -82.43% |
Correlation
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.
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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.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
BMO Bank of Montreal | -0.60 | ||||
XLF Financial Select Sector SPDR Fund | -0.18 |
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
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.