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ED vs. XLI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ED and XLI is 0.34, 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

ED vs. XLI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consolidated Edison, Inc. (ED) and Industrial Select Sector SPDR Fund (XLI). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ED:

0.71

XLI:

0.51

Sortino Ratio

ED:

1.19

XLI:

0.94

Omega Ratio

ED:

1.14

XLI:

1.13

Calmar Ratio

ED:

0.82

XLI:

0.60

Martin Ratio

ED:

1.98

XLI:

2.12

Ulcer Index

ED:

7.23%

XLI:

5.23%

Daily Std Dev

ED:

19.25%

XLI:

19.73%

Max Drawdown

ED:

-74.02%

XLI:

-62.26%

Current Drawdown

ED:

-4.96%

XLI:

-4.71%

Returns By Period

In the year-to-date period, ED achieves a 21.76% return, which is significantly higher than XLI's 3.62% return. Over the past 10 years, ED has underperformed XLI with an annualized return of 9.79%, while XLI has yielded a comparatively higher 11.24% annualized return.


ED

YTD

21.76%

1M

1.81%

6M

11.67%

1Y

13.57%

5Y*

11.82%

10Y*

9.79%

XLI

YTD

3.62%

1M

7.38%

6M

-3.43%

1Y

9.99%

5Y*

18.51%

10Y*

11.24%

*Annualized

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Risk-Adjusted Performance

ED vs. XLI — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ED
The Risk-Adjusted Performance Rank of ED is 7474
Overall Rank
The Sharpe Ratio Rank of ED is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of ED is 7171
Sortino Ratio Rank
The Omega Ratio Rank of ED is 6666
Omega Ratio Rank
The Calmar Ratio Rank of ED is 8181
Calmar Ratio Rank
The Martin Ratio Rank of ED is 7373
Martin Ratio Rank

XLI
The Risk-Adjusted Performance Rank of XLI is 6363
Overall Rank
The Sharpe Ratio Rank of XLI is 5858
Sharpe Ratio Rank
The Sortino Ratio Rank of XLI is 6464
Sortino Ratio Rank
The Omega Ratio Rank of XLI is 6262
Omega Ratio Rank
The Calmar Ratio Rank of XLI is 6868
Calmar Ratio Rank
The Martin Ratio Rank of XLI is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ED vs. XLI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consolidated Edison, Inc. (ED) and Industrial Select Sector SPDR Fund (XLI). 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.


The current ED Sharpe Ratio is 0.71, which is higher than the XLI Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of ED and XLI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

ED vs. XLI - Dividend Comparison

ED's dividend yield for the trailing twelve months is around 3.10%, more than XLI's 1.42% yield.


TTM20242023202220212020201920182017201620152014
ED
Consolidated Edison, Inc.
3.10%3.72%3.56%3.32%3.63%4.23%3.27%3.74%3.25%3.64%4.05%3.82%
XLI
Industrial Select Sector SPDR Fund
1.42%1.44%1.63%1.63%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%

Drawdowns

ED vs. XLI - Drawdown Comparison

The maximum ED drawdown since its inception was -74.02%, which is greater than XLI's maximum drawdown of -62.26%. Use the drawdown chart below to compare losses from any high point for ED and XLI. For additional features, visit the drawdowns tool.


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Volatility

ED vs. XLI - Volatility Comparison


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