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

Correlation

The correlation between JXI and XLU is 0.84, 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.


-0.50.00.51.00.8

Performance

JXI vs. XLU - Performance Comparison

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

150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
142.43%
328.04%
JXI
XLU

Key characteristics

Sharpe Ratio

JXI:

1.11

XLU:

1.65

Sortino Ratio

JXI:

1.54

XLU:

2.26

Omega Ratio

JXI:

1.19

XLU:

1.28

Calmar Ratio

JXI:

1.06

XLU:

1.31

Martin Ratio

JXI:

3.85

XLU:

7.52

Ulcer Index

JXI:

3.86%

XLU:

3.40%

Daily Std Dev

JXI:

13.39%

XLU:

15.48%

Max Drawdown

JXI:

-50.23%

XLU:

-52.27%

Current Drawdown

JXI:

-8.77%

XLU:

-7.84%

Returns By Period

In the year-to-date period, JXI achieves a 13.02% return, which is significantly lower than XLU's 23.49% return. Over the past 10 years, JXI has underperformed XLU with an annualized return of 6.18%, while XLU has yielded a comparatively higher 8.18% annualized return.


JXI

YTD

13.02%

1M

-4.62%

6M

7.37%

1Y

14.32%

5Y*

4.96%

10Y*

6.18%

XLU

YTD

23.49%

1M

-6.67%

6M

11.79%

1Y

24.90%

5Y*

6.81%

10Y*

8.18%

Compare stocks, funds, or ETFs

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


JXI vs. XLU - Expense Ratio Comparison

JXI has a 0.46% expense ratio, which is higher than XLU's 0.13% expense ratio.


JXI
iShares Global Utilities ETF
Expense ratio chart for JXI: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for XLU: 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

JXI vs. XLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Global Utilities ETF (JXI) 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 JXI, currently valued at 1.11, compared to the broader market0.002.004.001.111.65
The chart of Sortino ratio for JXI, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.001.542.26
The chart of Omega ratio for JXI, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.28
The chart of Calmar ratio for JXI, currently valued at 1.06, compared to the broader market0.005.0010.0015.001.061.31
The chart of Martin ratio for JXI, currently valued at 3.85, compared to the broader market0.0020.0040.0060.0080.00100.003.857.52
JXI
XLU

The current JXI Sharpe Ratio is 1.11, which is lower than the XLU Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of JXI 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.11
1.65
JXI
XLU

Dividends

JXI vs. XLU - Dividend Comparison

JXI's dividend yield for the trailing twelve months is around 3.03%, more than XLU's 2.11% yield.


TTM20232022202120202019201820172016201520142013
JXI
iShares Global Utilities ETF
3.03%3.58%3.13%2.78%2.65%3.43%3.16%3.62%4.77%3.78%3.55%4.30%
XLU
Utilities Select Sector SPDR Fund
2.11%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.42%3.67%3.19%3.86%

Drawdowns

JXI vs. XLU - Drawdown Comparison

The maximum JXI drawdown since its inception was -50.23%, roughly equal to the maximum XLU drawdown of -52.27%. Use the drawdown chart below to compare losses from any high point for JXI and XLU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.77%
-7.84%
JXI
XLU

Volatility

JXI vs. XLU - Volatility Comparison

The current volatility for iShares Global Utilities ETF (JXI) is 4.13%, while Utilities Select Sector SPDR Fund (XLU) has a volatility of 4.96%. This indicates that JXI experiences smaller price fluctuations and is considered to be less risky 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%JulyAugustSeptemberOctoberNovemberDecember
4.13%
4.96%
JXI
XLU
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