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ES vs. XLU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ES and XLU is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

ES vs. XLU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eversource Energy (ES) and Utilities Select Sector SPDR Fund (XLU). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
2.49%
11.77%
ES
XLU

Key characteristics

Sharpe Ratio

ES:

-0.07

XLU:

1.66

Sortino Ratio

ES:

0.07

XLU:

2.28

Omega Ratio

ES:

1.01

XLU:

1.29

Calmar Ratio

ES:

-0.04

XLU:

1.32

Martin Ratio

ES:

-0.20

XLU:

7.50

Ulcer Index

ES:

7.83%

XLU:

3.43%

Daily Std Dev

ES:

23.60%

XLU:

15.51%

Max Drawdown

ES:

-65.47%

XLU:

-52.27%

Current Drawdown

ES:

-32.66%

XLU:

-7.52%

Returns By Period

In the year-to-date period, ES achieves a -2.89% return, which is significantly lower than XLU's 23.91% return. Over the past 10 years, ES has underperformed XLU with an annualized return of 3.64%, while XLU has yielded a comparatively higher 8.09% annualized return.


ES

YTD

-2.89%

1M

-8.67%

6M

0.88%

1Y

-1.87%

5Y*

-4.18%

10Y*

3.64%

XLU

YTD

23.91%

1M

-5.84%

6M

10.71%

1Y

25.32%

5Y*

6.86%

10Y*

8.09%

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Risk-Adjusted Performance

ES vs. XLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eversource Energy (ES) and Utilities Select Sector SPDR Fund (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.


Sharpe ratio
The chart of Sharpe ratio for ES, currently valued at -0.07, compared to the broader market-4.00-2.000.002.00-0.071.66
The chart of Sortino ratio for ES, currently valued at 0.07, compared to the broader market-4.00-2.000.002.004.000.072.28
The chart of Omega ratio for ES, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.29
The chart of Calmar ratio for ES, currently valued at -0.04, compared to the broader market0.002.004.006.00-0.041.32
The chart of Martin ratio for ES, currently valued at -0.20, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.207.50
ES
XLU

The current ES Sharpe Ratio is -0.07, which is lower than the XLU Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of ES and XLU, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.07
1.66
ES
XLU

Dividends

ES vs. XLU - Dividend Comparison

ES's dividend yield for the trailing twelve months is around 5.00%, more than XLU's 2.95% yield.


TTM20232022202120202019201820172016201520142013
ES
Eversource Energy
5.00%4.37%3.04%2.65%2.62%2.52%3.11%3.01%3.22%3.27%2.93%3.47%
XLU
Utilities Select Sector SPDR Fund
2.95%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.42%3.67%3.19%3.86%

Drawdowns

ES vs. XLU - Drawdown Comparison

The maximum ES drawdown since its inception was -65.47%, which is greater than XLU's maximum drawdown of -52.27%. Use the drawdown chart below to compare losses from any high point for ES and XLU. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-32.66%
-7.52%
ES
XLU

Volatility

ES vs. XLU - Volatility Comparison

Eversource Energy (ES) has a higher volatility of 7.08% compared to Utilities Select Sector SPDR Fund (XLU) at 4.55%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.08%
4.55%
ES
XLU
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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.

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