DGX vs. XLF
Compare and contrast key facts about Quest Diagnostics Incorporated (DGX) 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: DGX or XLF.
Key characteristics
| DGX | XLF | |
|---|---|---|
| YTD Return | 19.80% | 33.79% |
| 1Y Return | 24.80% | 49.31% |
| 3Y Return (Ann) | 4.83% | 9.45% |
| 5Y Return (Ann) | 11.88% | 13.15% |
| 10Y Return (Ann) | 12.33% | 11.95% |
| Sharpe Ratio | 1.22 | 3.54 |
| Sortino Ratio | 1.95 | 4.96 |
| Omega Ratio | 1.23 | 1.65 |
| Calmar Ratio | 0.98 | 3.19 |
| Martin Ratio | 4.64 | 25.45 |
| Ulcer Index | 5.25% | 1.93% |
| Daily Std Dev | 20.03% | 13.86% |
| Max Drawdown | -49.46% | -82.69% |
| Current Drawdown | -0.17% | -0.30% |
Correlation
The correlation between DGX and XLF is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
DGX vs. XLF - Performance Comparison
In the year-to-date period, DGX achieves a 19.80% return, which is significantly lower than XLF's 33.79% return. Both investments have delivered pretty close results over the past 10 years, with DGX having a 12.33% annualized return and XLF not far behind at 11.95%. 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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Risk-Adjusted Performance
DGX vs. XLF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Quest Diagnostics Incorporated (DGX) 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.
Dividends
DGX vs. XLF - Dividend Comparison
DGX's dividend yield for the trailing twelve months is around 1.83%, more than XLF's 1.34% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGX Quest Diagnostics Incorporated | 1.83% | 2.02% | 2.08% | 1.40% | 1.85% | 1.99% | 2.34% | 1.83% | 1.72% | 2.07% | 1.92% | 2.24% |
XLF Financial Select Sector SPDR Fund | 1.34% | 1.71% | 2.04% | 1.63% | 2.03% | 1.86% | 2.09% | 1.48% | 1.63% | 1.95% | 1.61% | 1.47% |
Drawdowns
DGX vs. XLF - Drawdown Comparison
The maximum DGX drawdown since its inception was -49.46%, smaller than the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for DGX and XLF. For additional features, visit the drawdowns tool.
Volatility
DGX vs. XLF - Volatility Comparison
Quest Diagnostics Incorporated (DGX) has a higher volatility of 7.59% compared to Financial Select Sector SPDR Fund (XLF) at 7.08%. This indicates that DGX'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.