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BR vs. XLB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BRXLB
YTD Return10.80%11.86%
1Y Return29.94%26.02%
3Y Return (Ann)10.02%4.01%
5Y Return (Ann)15.51%11.71%
10Y Return (Ann)19.68%8.99%
Sharpe Ratio1.591.85
Sortino Ratio2.212.55
Omega Ratio1.291.32
Calmar Ratio3.371.96
Martin Ratio8.189.12
Ulcer Index3.50%2.73%
Daily Std Dev18.03%13.50%
Max Drawdown-59.02%-59.83%
Current Drawdown0.00%-3.24%

Correlation

-0.50.00.51.00.5

The correlation between BR and XLB is 0.52, 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

BR vs. XLB - Performance Comparison

In the year-to-date period, BR achieves a 10.80% return, which is significantly lower than XLB's 11.86% return. Over the past 10 years, BR has outperformed XLB with an annualized return of 19.68%, while XLB has yielded a comparatively lower 8.99% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.04%
3.81%
BR
XLB

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Risk-Adjusted Performance

BR vs. XLB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Broadridge Financial Solutions, Inc. (BR) and Materials Select Sector SPDR ETF (XLB). 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.


BR
Sharpe ratio
The chart of Sharpe ratio for BR, currently valued at 1.59, compared to the broader market-4.00-2.000.002.004.001.59
Sortino ratio
The chart of Sortino ratio for BR, currently valued at 2.21, compared to the broader market-4.00-2.000.002.004.006.002.21
Omega ratio
The chart of Omega ratio for BR, currently valued at 1.29, compared to the broader market0.501.001.502.001.29
Calmar ratio
The chart of Calmar ratio for BR, currently valued at 3.37, compared to the broader market0.002.004.006.003.37
Martin ratio
The chart of Martin ratio for BR, currently valued at 8.18, compared to the broader market0.0010.0020.0030.008.18
XLB
Sharpe ratio
The chart of Sharpe ratio for XLB, currently valued at 1.85, compared to the broader market-4.00-2.000.002.004.001.85
Sortino ratio
The chart of Sortino ratio for XLB, currently valued at 2.55, compared to the broader market-4.00-2.000.002.004.006.002.55
Omega ratio
The chart of Omega ratio for XLB, currently valued at 1.32, compared to the broader market0.501.001.502.001.32
Calmar ratio
The chart of Calmar ratio for XLB, currently valued at 1.96, compared to the broader market0.002.004.006.001.96
Martin ratio
The chart of Martin ratio for XLB, currently valued at 9.12, compared to the broader market0.0010.0020.0030.009.12

BR vs. XLB - Sharpe Ratio Comparison

The current BR Sharpe Ratio is 1.59, which is comparable to the XLB Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of BR and XLB, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.59
1.85
BR
XLB

Dividends

BR vs. XLB - Dividend Comparison

BR's dividend yield for the trailing twelve months is around 1.46%, less than XLB's 1.86% yield.


TTM20232022202120202019201820172016201520142013
BR
Broadridge Financial Solutions, Inc.
1.46%1.48%2.04%1.33%1.46%1.66%1.77%1.53%1.90%2.12%2.08%1.97%
XLB
Materials Select Sector SPDR ETF
1.86%2.00%2.26%1.62%1.72%1.98%2.20%1.66%1.95%2.24%1.97%2.08%

Drawdowns

BR vs. XLB - Drawdown Comparison

The maximum BR drawdown since its inception was -59.02%, roughly equal to the maximum XLB drawdown of -59.83%. Use the drawdown chart below to compare losses from any high point for BR and XLB. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.24%
BR
XLB

Volatility

BR vs. XLB - Volatility Comparison

Broadridge Financial Solutions, Inc. (BR) has a higher volatility of 5.46% compared to Materials Select Sector SPDR ETF (XLB) at 3.44%. This indicates that BR's price experiences larger fluctuations and is considered to be riskier than XLB 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%JuneJulyAugustSeptemberOctoberNovember
5.46%
3.44%
BR
XLB