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

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.


-0.50.00.51.00.5

Performance

MUFG vs. XLF - Performance Comparison

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

100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
117.22%
378.67%
MUFG
XLF

Key characteristics

Sharpe Ratio

MUFG:

1.42

XLF:

2.34

Sortino Ratio

MUFG:

1.92

XLF:

3.34

Omega Ratio

MUFG:

1.26

XLF:

1.43

Calmar Ratio

MUFG:

2.01

XLF:

4.56

Martin Ratio

MUFG:

5.62

XLF:

15.34

Ulcer Index

MUFG:

7.23%

XLF:

2.15%

Daily Std Dev

MUFG:

28.71%

XLF:

14.09%

Max Drawdown

MUFG:

-76.79%

XLF:

-82.43%

Current Drawdown

MUFG:

-6.95%

XLF:

-5.51%

Returns By Period

In the year-to-date period, MUFG achieves a 33.81% return, which is significantly higher than XLF's 30.49% return. Over the past 10 years, MUFG has underperformed XLF with an annualized return of 11.03%, while XLF has yielded a comparatively higher 13.65% annualized return.


MUFG

YTD

33.81%

1M

-2.49%

6M

17.44%

1Y

37.97%

5Y*

20.18%

10Y*

11.03%

XLF

YTD

30.49%

1M

-3.31%

6M

18.26%

1Y

31.39%

5Y*

11.76%

10Y*

13.65%

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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.


Sharpe ratio
The chart of Sharpe ratio for MUFG, currently valued at 1.42, compared to the broader market-4.00-2.000.002.001.422.34
The chart of Sortino ratio for MUFG, currently valued at 1.92, compared to the broader market-4.00-2.000.002.004.001.923.34
The chart of Omega ratio for MUFG, currently valued at 1.26, compared to the broader market0.501.001.502.001.261.43
The chart of Calmar ratio for MUFG, currently valued at 2.01, compared to the broader market0.002.004.006.002.014.56
The chart of Martin ratio for MUFG, currently valued at 5.62, compared to the broader market-5.000.005.0010.0015.0020.0025.005.6215.34
MUFG
XLF

The current MUFG Sharpe Ratio is 1.42, which is lower than the XLF Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of MUFG 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 Ratio1.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.42
2.34
MUFG
XLF

Dividends

MUFG vs. XLF - Dividend Comparison

MUFG's dividend yield for the trailing twelve months is around 1.12%, more than XLF's 0.99% yield.


TTM20232022202120202019201820172016201520142013
MUFG
Mitsubishi UFJ Financial Group, Inc.
1.12%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
0.99%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%1.81%

Drawdowns

MUFG vs. XLF - Drawdown Comparison

The maximum MUFG drawdown since its inception was -76.79%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for MUFG and XLF. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.95%
-5.51%
MUFG
XLF

Volatility

MUFG vs. XLF - Volatility Comparison

Mitsubishi UFJ Financial Group, Inc. (MUFG) has a higher volatility of 6.09% compared to Financial Select Sector SPDR Fund (XLF) at 4.48%. 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.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.09%
4.48%
MUFG
XLF
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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.

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