ES vs. XLU
ES (Eversource Energy) is a stock, while XLU (State Street Utilities Select Sector SPDR ETF) is Utilities Equities fund tracking the Utilities Select Sector Index. Over the past 10 years, ES returned 5.81%/yr vs 9.35%/yr for XLU. A 0.70 correlation means they provide meaningful diversification when combined.
Performance
ES vs. XLU - Performance Comparison
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Returns By Period
In the year-to-date period, ES achieves a 7.87% return, which is significantly higher than XLU's 6.99% return. Over the past 10 years, ES has underperformed XLU with an annualized return of 5.81%, while XLU has yielded a comparatively higher 9.35% annualized return.
ES
- 1D
- 1.30%
- 1M
- 1.47%
- YTD
- 7.87%
- 6M
- 9.44%
- 1Y
- 17.22%
- 3Y*
- 5.34%
- 5Y*
- 1.80%
- 10Y*
- 5.81%
XLU
- 1D
- 0.78%
- 1M
- 0.02%
- YTD
- 6.99%
- 6M
- 7.17%
- 1Y
- 14.05%
- 3Y*
- 14.90%
- 5Y*
- 10.60%
- 10Y*
- 9.35%
ES vs. XLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ES Eversource Energy | 7.87% | 22.86% | -2.46% | -23.43% | -5.06% | 8.18% | 4.45% | 34.49% | 6.41% | 17.97% |
XLU State Street Utilities Select Sector SPDR ETF | 6.99% | 16.03% | 23.31% | -7.18% | 1.44% | 17.70% | 0.51% | 25.93% | 3.94% | 12.05% |
Correlation
The correlation between ES and XLU is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.67 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.76 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since Dec 22, 1998 | 0.70 |
The correlation between ES and XLU shifts across timeframes, from 0.65 (1 year) to 0.81 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
ES vs. XLU — Risk / Return Rank
ES
XLU
ES vs. XLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eversource Energy (ES) and State Street Utilities Select Sector SPDR ETF (XLU). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ES | XLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.37 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.17 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 1.14 | 1.54 | -0.39 |
| Martin ratioReturn relative to average drawdown | 2.73 | 3.26 | -0.53 |
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Drawdowns
ES vs. XLU - Drawdown Comparison
The maximum ES drawdown since its inception was -73.04%, which is greater than XLU's maximum drawdown of -51.98%. Use the drawdown chart below to compare losses from any high point for ES and XLU.
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Drawdown Indicators
| ES | XLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -73.04% | -51.98% | -21.06% |
Max Drawdown (1Y)Largest decline over 1 year | -15.13% | -9.18% | -5.95% |
Max Drawdown (3Y)Largest decline over 3 years | -28.65% | -17.26% | -11.39% |
Max Drawdown (5Y)Largest decline over 5 years | -41.69% | -25.26% | -16.43% |
Max Drawdown (10Y)Largest decline over 10 years | -41.69% | -36.07% | -5.62% |
Current DrawdownCurrent decline from peak | -10.37% | -4.30% | -6.07% |
Average DrawdownAverage peak-to-trough decline | -19.06% | -10.21% | -8.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.32% | 4.32% | +2.00% |
Volatility
ES vs. XLU - Volatility Comparison
Eversource Energy (ES) has a higher volatility of 7.03% compared to State Street Utilities Select Sector SPDR ETF (XLU) at 5.21%. This indicates that ES's price experiences larger fluctuations and is considered to be riskier than XLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ES | XLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.03% | 5.21% | +1.82% |
Volatility (6M)Calculated over the trailing 6-month period | 16.08% | 11.70% | +4.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.61% | 14.69% | +9.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.88% | 17.30% | +6.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.37% | 19.29% | +5.08% |
Dividends
ES vs. XLU - Dividend Comparison
ES's dividend yield for the trailing twelve months is around 4.34%, more than XLU's 2.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ES Eversource Energy | 4.34% | 4.47% | 4.98% | 4.37% | 3.04% | 2.65% | 2.62% | 2.52% | 3.11% | 3.01% | 3.22% | 3.27% |
XLU State Street Utilities Select Sector SPDR ETF | 2.65% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
Frequently Asked Questions
ES and XLU have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ES has higher volatility (7.03%) compared to XLU (5.21%). In terms of maximum drawdown, ES dropped -73.04% vs XLU's -51.98%.
XLU currently has the higher Sharpe Ratio (0.96 vs 0.70), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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