PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CFR vs. XLF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CFR and XLF is 0.70, 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.


-0.50.00.51.00.7

Performance

CFR vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cullen/Frost Bankers, Inc. (CFR) 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%50.00%JulyAugustSeptemberOctoberNovemberDecember
35.47%
15.67%
CFR
XLF

Key characteristics

Sharpe Ratio

CFR:

0.86

XLF:

2.06

Sortino Ratio

CFR:

1.44

XLF:

2.96

Omega Ratio

CFR:

1.17

XLF:

1.38

Calmar Ratio

CFR:

0.67

XLF:

3.99

Martin Ratio

CFR:

3.29

XLF:

14.03

Ulcer Index

CFR:

7.43%

XLF:

2.08%

Daily Std Dev

CFR:

28.42%

XLF:

14.16%

Max Drawdown

CFR:

-56.86%

XLF:

-82.43%

Current Drawdown

CFR:

-10.98%

XLF:

-7.23%

Returns By Period

In the year-to-date period, CFR achieves a 25.03% return, which is significantly lower than XLF's 28.12% return. Over the past 10 years, CFR has underperformed XLF with an annualized return of 9.65%, while XLF has yielded a comparatively higher 13.56% annualized return.


CFR

YTD

25.03%

1M

-4.11%

6M

35.47%

1Y

28.67%

5Y*

9.25%

10Y*

9.65%

XLF

YTD

28.12%

1M

-4.78%

6M

16.29%

1Y

28.22%

5Y*

11.30%

10Y*

13.56%

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

CFR vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cullen/Frost Bankers, Inc. (CFR) 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 CFR, currently valued at 0.86, compared to the broader market-4.00-2.000.002.000.862.00
The chart of Sortino ratio for CFR, currently valued at 1.44, compared to the broader market-4.00-2.000.002.004.001.442.87
The chart of Omega ratio for CFR, currently valued at 1.17, compared to the broader market0.501.001.502.001.171.37
The chart of Calmar ratio for CFR, currently valued at 0.67, compared to the broader market0.002.004.006.000.673.85
The chart of Martin ratio for CFR, currently valued at 3.29, compared to the broader market0.0010.0020.003.2913.28
CFR
XLF

The current CFR Sharpe Ratio is 0.86, which is lower than the XLF Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of CFR 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
0.86
2.00
CFR
XLF

Dividends

CFR vs. XLF - Dividend Comparison

CFR's dividend yield for the trailing twelve months is around 2.85%, more than XLF's 1.01% yield.


TTM20232022202120202019201820172016201520142013
CFR
Cullen/Frost Bankers, Inc.
2.85%3.30%2.42%2.33%3.27%2.86%2.93%2.38%2.44%3.50%2.87%2.66%
XLF
Financial Select Sector SPDR Fund
1.01%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%1.81%

Drawdowns

CFR vs. XLF - Drawdown Comparison

The maximum CFR drawdown since its inception was -56.86%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for CFR and XLF. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.98%
-7.23%
CFR
XLF

Volatility

CFR vs. XLF - Volatility Comparison

Cullen/Frost Bankers, Inc. (CFR) has a higher volatility of 6.20% compared to Financial Select Sector SPDR Fund (XLF) at 4.14%. This indicates that CFR'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
6.20%
4.14%
CFR
XLF
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab