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

Correlation

The correlation between BOKF and XLF is 0.60, 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

BOKF vs. XLF - Performance Comparison

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

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
24.08%
18.22%
BOKF
XLF

Key characteristics

Sharpe Ratio

BOKF:

1.17

XLF:

2.28

Sortino Ratio

BOKF:

1.82

XLF:

3.26

Omega Ratio

BOKF:

1.22

XLF:

1.42

Calmar Ratio

BOKF:

1.15

XLF:

4.43

Martin Ratio

BOKF:

6.93

XLF:

14.71

Ulcer Index

BOKF:

4.63%

XLF:

2.17%

Daily Std Dev

BOKF:

27.47%

XLF:

14.09%

Max Drawdown

BOKF:

-85.43%

XLF:

-82.43%

Current Drawdown

BOKF:

-9.01%

XLF:

-5.29%

Returns By Period

The year-to-date returns for both investments are quite close, with BOKF having a 30.10% return and XLF slightly higher at 30.80%. Over the past 10 years, BOKF has underperformed XLF with an annualized return of 8.69%, while XLF has yielded a comparatively higher 13.68% annualized return.


BOKF

YTD

30.10%

1M

-7.35%

6M

22.23%

1Y

30.31%

5Y*

7.28%

10Y*

8.69%

XLF

YTD

30.80%

1M

-4.15%

6M

17.34%

1Y

31.71%

5Y*

11.76%

10Y*

13.68%

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Risk-Adjusted Performance

BOKF vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BOK Financial Corporation (BOKF) 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 BOKF, currently valued at 1.17, compared to the broader market-4.00-2.000.002.001.172.28
The chart of Sortino ratio for BOKF, currently valued at 1.82, compared to the broader market-4.00-2.000.002.004.001.823.26
The chart of Omega ratio for BOKF, currently valued at 1.22, compared to the broader market0.501.001.502.001.221.42
The chart of Calmar ratio for BOKF, currently valued at 1.15, compared to the broader market0.002.004.006.001.154.43
The chart of Martin ratio for BOKF, currently valued at 6.93, compared to the broader market-5.000.005.0010.0015.0020.0025.006.9314.71
BOKF
XLF

The current BOKF Sharpe Ratio is 1.17, which is lower than the XLF Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of BOKF 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
1.17
2.28
BOKF
XLF

Dividends

BOKF vs. XLF - Dividend Comparison

BOKF's dividend yield for the trailing twelve months is around 2.04%, more than XLF's 1.42% yield.


TTM20232022202120202019201820172016201520142013
BOKF
BOK Financial Corporation
2.04%2.53%2.05%1.98%2.99%2.30%2.59%1.92%2.08%2.83%2.70%2.32%
XLF
Financial Select Sector SPDR Fund
1.42%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%1.81%

Drawdowns

BOKF vs. XLF - Drawdown Comparison

The maximum BOKF drawdown since its inception was -85.43%, roughly equal to the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for BOKF and XLF. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.01%
-5.29%
BOKF
XLF

Volatility

BOKF vs. XLF - Volatility Comparison

BOK Financial Corporation (BOKF) has a higher volatility of 7.04% compared to Financial Select Sector SPDR Fund (XLF) at 4.27%. This indicates that BOKF'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%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
7.04%
4.27%
BOKF
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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