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

Correlation

The correlation between EVX and XLK is 0.55, 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.


-0.50.00.51.00.5

Performance

EVX vs. XLK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VanEck Vectors Environmental Services ETF (EVX) and Technology Select Sector SPDR Fund (XLK). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.83%
1.86%
EVX
XLK

Key characteristics

Sharpe Ratio

EVX:

1.15

XLK:

0.98

Sortino Ratio

EVX:

1.60

XLK:

1.40

Omega Ratio

EVX:

1.20

XLK:

1.19

Calmar Ratio

EVX:

1.44

XLK:

1.28

Martin Ratio

EVX:

6.96

XLK:

4.39

Ulcer Index

EVX:

2.30%

XLK:

4.94%

Daily Std Dev

EVX:

13.95%

XLK:

22.10%

Max Drawdown

EVX:

-55.91%

XLK:

-82.05%

Current Drawdown

EVX:

-9.21%

XLK:

-3.81%

Returns By Period

In the year-to-date period, EVX achieves a 14.31% return, which is significantly lower than XLK's 21.29% return. Over the past 10 years, EVX has underperformed XLK with an annualized return of 12.78%, while XLK has yielded a comparatively higher 20.28% annualized return.


EVX

YTD

14.31%

1M

-4.99%

6M

2.86%

1Y

15.00%

5Y*

10.74%

10Y*

12.78%

XLK

YTD

21.29%

1M

1.22%

6M

0.72%

1Y

21.22%

5Y*

21.76%

10Y*

20.28%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EVX vs. XLK - Expense Ratio Comparison

EVX has a 0.55% expense ratio, which is higher than XLK's 0.13% expense ratio.


EVX
VanEck Vectors Environmental Services ETF
Expense ratio chart for EVX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

EVX vs. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Vectors Environmental Services ETF (EVX) and Technology Select Sector SPDR Fund (XLK). 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 EVX, currently valued at 1.15, compared to the broader market0.002.004.001.150.98
The chart of Sortino ratio for EVX, currently valued at 1.60, compared to the broader market-2.000.002.004.006.008.0010.001.601.40
The chart of Omega ratio for EVX, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.19
The chart of Calmar ratio for EVX, currently valued at 1.44, compared to the broader market0.005.0010.0015.001.441.28
The chart of Martin ratio for EVX, currently valued at 6.96, compared to the broader market0.0020.0040.0060.0080.00100.006.964.39
EVX
XLK

The current EVX Sharpe Ratio is 1.15, which is comparable to the XLK Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of EVX and XLK, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.15
0.98
EVX
XLK

Dividends

EVX vs. XLK - Dividend Comparison

EVX has not paid dividends to shareholders, while XLK's dividend yield for the trailing twelve months is around 0.49%.


TTM20232022202120202019201820172016201520142013
EVX
VanEck Vectors Environmental Services ETF
0.00%0.95%0.41%0.24%0.33%0.44%0.38%0.89%0.70%1.16%1.58%1.15%
XLK
Technology Select Sector SPDR Fund
0.49%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

EVX vs. XLK - Drawdown Comparison

The maximum EVX drawdown since its inception was -55.91%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for EVX and XLK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.21%
-3.81%
EVX
XLK

Volatility

EVX vs. XLK - Volatility Comparison

The current volatility for VanEck Vectors Environmental Services ETF (EVX) is 4.23%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 5.26%. This indicates that EVX experiences smaller price fluctuations and is considered to be less risky than XLK 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%JulyAugustSeptemberOctoberNovemberDecember
4.23%
5.26%
EVX
XLK
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