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GL vs. XLF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GL and XLF is 0.73, 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

GL vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Globe Life Inc. (GL) and Financial Select Sector SPDR Fund (XLF). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%AugustSeptemberOctoberNovemberDecember
35.25%
17.14%
GL
XLF

Key characteristics

Sharpe Ratio

GL:

-0.14

XLF:

2.12

Sortino Ratio

GL:

0.36

XLF:

3.06

Omega Ratio

GL:

1.11

XLF:

1.39

Calmar Ratio

GL:

-0.14

XLF:

4.15

Martin Ratio

GL:

-0.37

XLF:

13.33

Ulcer Index

GL:

23.91%

XLF:

2.25%

Daily Std Dev

GL:

65.27%

XLF:

14.18%

Max Drawdown

GL:

-75.34%

XLF:

-82.43%

Current Drawdown

GL:

-13.74%

XLF:

-5.56%

Returns By Period

In the year-to-date period, GL achieves a -8.83% return, which is significantly lower than XLF's 30.42% return. Over the past 10 years, GL has underperformed XLF with an annualized return of 8.25%, while XLF has yielded a comparatively higher 13.75% annualized return.


GL

YTD

-8.83%

1M

-1.16%

6M

33.43%

1Y

-8.83%

5Y*

1.75%

10Y*

8.25%

XLF

YTD

30.42%

1M

-5.56%

6M

18.11%

1Y

30.42%

5Y*

11.62%

10Y*

13.75%

*Annualized

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Risk-Adjusted Performance

GL vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Globe Life Inc. (GL) 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.


The chart of Sharpe ratio for GL, currently valued at -0.14, compared to the broader market-4.00-2.000.002.00-0.142.12
The chart of Sortino ratio for GL, currently valued at 0.36, compared to the broader market-4.00-2.000.002.004.000.363.06
The chart of Omega ratio for GL, currently valued at 1.11, compared to the broader market0.501.001.502.001.111.39
The chart of Calmar ratio for GL, currently valued at -0.14, compared to the broader market0.002.004.006.00-0.144.15
The chart of Martin ratio for GL, currently valued at -0.37, compared to the broader market0.005.0010.0015.0020.0025.00-0.3713.33
GL
XLF

The current GL Sharpe Ratio is -0.14, which is lower than the XLF Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of GL and XLF, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember
-0.14
2.12
GL
XLF

Dividends

GL vs. XLF - Dividend Comparison

GL's dividend yield for the trailing twelve months is around 0.86%, less than XLF's 1.42% yield.


TTM2023202220212020201920182017201620152014
GL
Globe Life Inc.
0.86%0.73%0.68%0.83%0.78%0.65%0.85%0.65%0.75%0.71%0.94%
XLF
Financial Select Sector SPDR Fund
1.42%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%

Drawdowns

GL vs. XLF - Drawdown Comparison

The maximum GL drawdown since its inception was -75.34%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for GL and XLF. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%AugustSeptemberOctoberNovemberDecember
-13.74%
-5.56%
GL
XLF

Volatility

GL vs. XLF - Volatility Comparison

Globe Life Inc. (GL) has a higher volatility of 6.30% compared to Financial Select Sector SPDR Fund (XLF) at 4.29%. This indicates that GL'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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%AugustSeptemberOctoberNovemberDecember
6.30%
4.29%
GL
XLF