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

Correlation

The correlation between ORI and XLF is 0.61, 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.


-0.50.00.51.00.6

Performance

ORI vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Old Republic International Corporation (ORI) and Financial Select Sector SPDR Fund (XLF). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%JulyAugustSeptemberOctoberNovemberDecember
1,172.82%
457.40%
ORI
XLF

Key characteristics

Sharpe Ratio

ORI:

1.35

XLF:

2.06

Sortino Ratio

ORI:

1.72

XLF:

2.96

Omega Ratio

ORI:

1.26

XLF:

1.38

Calmar Ratio

ORI:

2.75

XLF:

3.99

Martin Ratio

ORI:

7.50

XLF:

14.03

Ulcer Index

ORI:

3.49%

XLF:

2.08%

Daily Std Dev

ORI:

19.37%

XLF:

14.16%

Max Drawdown

ORI:

-66.28%

XLF:

-82.43%

Current Drawdown

ORI:

-8.59%

XLF:

-7.23%

Returns By Period

In the year-to-date period, ORI achieves a 25.19% return, which is significantly lower than XLF's 28.12% return. Over the past 10 years, ORI has outperformed XLF with an annualized return of 18.88%, while XLF has yielded a comparatively lower 13.56% annualized return.


ORI

YTD

25.19%

1M

-5.37%

6M

19.44%

1Y

25.57%

5Y*

19.18%

10Y*

18.88%

XLF

YTD

28.12%

1M

-4.78%

6M

16.29%

1Y

28.22%

5Y*

11.30%

10Y*

13.56%

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Risk-Adjusted Performance

ORI vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Old Republic International Corporation (ORI) 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 ORI, currently valued at 1.35, compared to the broader market-4.00-2.000.002.001.352.06
The chart of Sortino ratio for ORI, currently valued at 1.72, compared to the broader market-4.00-2.000.002.004.001.722.96
The chart of Omega ratio for ORI, currently valued at 1.26, compared to the broader market0.501.001.502.001.261.38
The chart of Calmar ratio for ORI, currently valued at 2.75, compared to the broader market0.002.004.006.002.753.99
The chart of Martin ratio for ORI, currently valued at 7.50, compared to the broader market0.0010.0020.007.5014.03
ORI
XLF

The current ORI Sharpe Ratio is 1.35, which is lower than the XLF Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of ORI 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 Ratio1.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.35
2.06
ORI
XLF

Dividends

ORI vs. XLF - Dividend Comparison

ORI's dividend yield for the trailing twelve months is around 3.02%, more than XLF's 1.01% yield.


TTM20232022202120202019201820172016201520142013
ORI
Old Republic International Corporation
3.02%3.40%7.95%13.75%4.49%7.53%9.52%4.11%4.56%4.59%5.77%4.82%
XLF
Financial Select Sector SPDR Fund
1.01%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%1.81%

Drawdowns

ORI vs. XLF - Drawdown Comparison

The maximum ORI drawdown since its inception was -66.28%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for ORI and XLF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.59%
-7.23%
ORI
XLF

Volatility

ORI vs. XLF - Volatility Comparison

Old Republic International Corporation (ORI) has a higher volatility of 6.43% compared to Financial Select Sector SPDR Fund (XLF) at 4.16%. This indicates that ORI'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%JulyAugustSeptemberOctoberNovemberDecember
6.43%
4.16%
ORI
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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