MUFG vs. XLF
Compare and contrast key facts about Mitsubishi UFJ Financial Group, Inc. (MUFG) 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: MUFG or XLF.
Performance
MUFG vs. XLF - Performance Comparison
Returns By Period
In the year-to-date period, MUFG achieves a 37.22% return, which is significantly higher than XLF's 33.26% return. Over the past 10 years, MUFG has underperformed XLF with an annualized return of 11.09%, while XLF has yielded a comparatively higher 11.83% annualized return.
MUFG
37.22%
9.17%
17.76%
38.83%
21.69%
11.09%
XLF
33.26%
4.87%
19.02%
43.33%
12.87%
11.83%
Key characteristics
| MUFG | XLF | |
|---|---|---|
| Sharpe Ratio | 1.27 | 3.14 |
| Sortino Ratio | 1.75 | 4.45 |
| Omega Ratio | 1.24 | 1.57 |
| Calmar Ratio | 1.82 | 3.54 |
| Martin Ratio | 5.07 | 22.40 |
| Ulcer Index | 7.25% | 1.93% |
| Daily Std Dev | 28.98% | 13.77% |
| Max Drawdown | -76.79% | -82.69% |
| Current Drawdown | -3.31% | -0.96% |
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Correlation
The correlation between MUFG and XLF is 0.46, 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.
Risk-Adjusted Performance
MUFG vs. XLF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Mitsubishi UFJ Financial Group, Inc. (MUFG) 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
MUFG vs. XLF - Dividend Comparison
MUFG's dividend yield for the trailing twelve months is around 1.09%, less than XLF's 1.34% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MUFG Mitsubishi UFJ Financial Group, Inc. | 1.09% | 2.90% | 3.36% | 4.25% | 5.33% | 3.99% | 3.85% | 2.20% | 2.70% | 2.34% | 2.94% | 2.08% |
XLF Financial Select Sector SPDR Fund | 1.34% | 1.71% | 2.04% | 1.63% | 2.03% | 1.86% | 2.09% | 1.48% | 1.63% | 1.95% | 1.61% | 1.47% |
Drawdowns
MUFG vs. XLF - Drawdown Comparison
The maximum MUFG drawdown since its inception was -76.79%, smaller than the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for MUFG and XLF. For additional features, visit the drawdowns tool.
Volatility
MUFG vs. XLF - Volatility Comparison
Mitsubishi UFJ Financial Group, Inc. (MUFG) has a higher volatility of 9.73% compared to Financial Select Sector SPDR Fund (XLF) at 7.02%. This indicates that MUFG'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.