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

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.


-0.50.00.51.00.6

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%JulyAugustSeptemberOctoberNovemberDecember
1,334.54%
467.70%
BMO
XLF

Key characteristics

Sharpe Ratio

BMO:

0.30

XLF:

2.34

Sortino Ratio

BMO:

0.51

XLF:

3.34

Omega Ratio

BMO:

1.08

XLF:

1.43

Calmar Ratio

BMO:

0.23

XLF:

4.56

Martin Ratio

BMO:

0.82

XLF:

15.34

Ulcer Index

BMO:

7.79%

XLF:

2.15%

Daily Std Dev

BMO:

21.33%

XLF:

14.09%

Max Drawdown

BMO:

-68.43%

XLF:

-82.43%

Current Drawdown

BMO:

-10.27%

XLF:

-5.51%

Returns By Period

In the year-to-date period, BMO achieves a 2.46% return, which is significantly lower than XLF's 30.49% return. Over the past 10 years, BMO has underperformed XLF with an annualized return of 7.73%, while XLF has yielded a comparatively higher 13.65% annualized return.


BMO

YTD

2.46%

1M

2.66%

6M

18.18%

1Y

4.22%

5Y*

9.30%

10Y*

7.73%

XLF

YTD

30.49%

1M

-3.31%

6M

18.26%

1Y

31.39%

5Y*

11.76%

10Y*

13.65%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

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
The chart of Sharpe ratio for BMO, currently valued at 0.30, compared to the broader market-4.00-2.000.002.000.302.34
The chart of Sortino ratio for BMO, currently valued at 0.51, compared to the broader market-4.00-2.000.002.004.000.513.34
The chart of Omega ratio for BMO, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.43
The chart of Calmar ratio for BMO, currently valued at 0.23, compared to the broader market0.002.004.006.000.234.56
The chart of Martin ratio for BMO, currently valued at 0.82, compared to the broader market-5.000.005.0010.0015.0020.0025.000.8215.34
BMO
XLF

The current BMO Sharpe Ratio is 0.30, which is lower than the XLF Sharpe Ratio of 2.34. 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.30
2.34
BMO
XLF

Dividends

BMO vs. XLF - Dividend Comparison

BMO's dividend yield for the trailing twelve months is around 4.64%, more than XLF's 0.99% yield.


TTM20232022202120202019201820172016201520142013
BMO
Bank of Montreal
4.64%4.34%4.64%3.16%4.12%3.96%4.52%3.42%3.56%4.53%3.94%4.31%
XLF
Financial Select Sector SPDR Fund
0.99%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%1.81%

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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.27%
-5.51%
BMO
XLF

Volatility

BMO vs. XLF - Volatility Comparison

Bank of Montreal (BMO) has a higher volatility of 7.43% compared to Financial Select Sector SPDR Fund (XLF) at 4.48%. 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.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.43%
4.48%
BMO
XLF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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