GS vs. XLF
Compare and contrast key facts about The Goldman Sachs Group, Inc. (GS) and Financial Select Sector SPDR Fund (XLF).
XLF is a passively managed fund by State Street that tracks the performance of the Financial Select Sector Index. It was launched on Dec 16, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GS or XLF.
Performance
GS vs. XLF - Performance Comparison
Returns By Period
In the year-to-date period, GS achieves a 56.81% return, which is significantly higher than XLF's 34.14% return. Over the past 10 years, GS has outperformed XLF with an annualized return of 14.33%, while XLF has yielded a comparatively lower 11.94% annualized return.
GS
56.81%
12.02%
28.42%
81.15%
25.01%
14.33%
XLF
34.14%
5.03%
18.26%
45.53%
13.12%
11.94%
Key characteristics
| GS | XLF | |
|---|---|---|
| Sharpe Ratio | 3.11 | 3.35 |
| Sortino Ratio | 4.29 | 4.71 |
| Omega Ratio | 1.58 | 1.61 |
| Calmar Ratio | 4.87 | 3.56 |
| Martin Ratio | 31.65 | 23.90 |
| Ulcer Index | 2.55% | 1.93% |
| Daily Std Dev | 25.96% | 13.75% |
| Max Drawdown | -78.84% | -82.69% |
| Current Drawdown | -1.46% | -0.04% |
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Correlation
The correlation between GS and XLF is 0.77, 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.
Risk-Adjusted Performance
GS vs. XLF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for The Goldman Sachs Group, Inc. (GS) 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.
Dividends
GS vs. XLF - Dividend Comparison
GS's dividend yield for the trailing twelve months is around 1.90%, more than XLF's 1.33% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GS The Goldman Sachs Group, Inc. | 1.90% | 2.72% | 2.62% | 1.70% | 1.90% | 1.80% | 1.89% | 1.14% | 1.09% | 1.41% | 1.16% | 1.16% |
XLF Financial Select Sector SPDR Fund | 1.33% | 1.71% | 2.04% | 1.63% | 2.03% | 1.86% | 2.09% | 1.48% | 1.63% | 1.95% | 1.61% | 1.47% |
Drawdowns
GS vs. XLF - Drawdown Comparison
The maximum GS drawdown since its inception was -78.84%, roughly equal to the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for GS and XLF. For additional features, visit the drawdowns tool.
Volatility
GS vs. XLF - Volatility Comparison
The Goldman Sachs Group, Inc. (GS) has a higher volatility of 14.13% compared to Financial Select Sector SPDR Fund (XLF) at 7.04%. This indicates that GS'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.