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PBT vs. XLE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PBTXLE
YTD Return-8.92%15.22%
1Y Return-25.62%16.92%
3Y Return (Ann)19.16%22.62%
5Y Return (Ann)32.35%15.01%
10Y Return (Ann)5.93%4.94%
Sharpe Ratio-0.451.02
Sortino Ratio-0.391.46
Omega Ratio0.951.18
Calmar Ratio-0.331.37
Martin Ratio-0.623.19
Ulcer Index31.62%5.71%
Daily Std Dev43.12%17.83%
Max Drawdown-83.08%-71.54%
Current Drawdown-52.08%-2.30%

Correlation

-0.50.00.51.00.4

The correlation between PBT and XLE is 0.44, 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.

Performance

PBT vs. XLE - Performance Comparison

In the year-to-date period, PBT achieves a -8.92% return, which is significantly lower than XLE's 15.22% return. Over the past 10 years, PBT has outperformed XLE with an annualized return of 5.93%, while XLE has yielded a comparatively lower 4.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.42%
2.40%
PBT
XLE

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Risk-Adjusted Performance

PBT vs. XLE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Permian Basin Royalty Trust (PBT) and Energy Select Sector SPDR Fund (XLE). 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.


PBT
Sharpe ratio
The chart of Sharpe ratio for PBT, currently valued at -0.45, compared to the broader market-4.00-2.000.002.004.00-0.45
Sortino ratio
The chart of Sortino ratio for PBT, currently valued at -0.39, compared to the broader market-4.00-2.000.002.004.006.00-0.39
Omega ratio
The chart of Omega ratio for PBT, currently valued at 0.95, compared to the broader market0.501.001.502.000.95
Calmar ratio
The chart of Calmar ratio for PBT, currently valued at -0.33, compared to the broader market0.002.004.006.00-0.33
Martin ratio
The chart of Martin ratio for PBT, currently valued at -0.62, compared to the broader market0.0010.0020.0030.00-0.62
XLE
Sharpe ratio
The chart of Sharpe ratio for XLE, currently valued at 1.02, compared to the broader market-4.00-2.000.002.004.001.02
Sortino ratio
The chart of Sortino ratio for XLE, currently valued at 1.46, compared to the broader market-4.00-2.000.002.004.006.001.46
Omega ratio
The chart of Omega ratio for XLE, currently valued at 1.18, compared to the broader market0.501.001.502.001.18
Calmar ratio
The chart of Calmar ratio for XLE, currently valued at 1.37, compared to the broader market0.002.004.006.001.37
Martin ratio
The chart of Martin ratio for XLE, currently valued at 3.19, compared to the broader market0.0010.0020.0030.003.19

PBT vs. XLE - Sharpe Ratio Comparison

The current PBT Sharpe Ratio is -0.45, which is lower than the XLE Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of PBT and XLE, 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 Ratio-1.00-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.45
1.02
PBT
XLE

Dividends

PBT vs. XLE - Dividend Comparison

PBT's dividend yield for the trailing twelve months is around 6.27%, more than XLE's 3.16% yield.


TTM20232022202120202019201820172016201520142013
PBT
Permian Basin Royalty Trust
6.27%4.30%4.56%2.28%7.10%10.83%11.20%7.09%5.40%6.82%10.73%6.75%
XLE
Energy Select Sector SPDR Fund
3.16%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%

Drawdowns

PBT vs. XLE - Drawdown Comparison

The maximum PBT drawdown since its inception was -83.08%, which is greater than XLE's maximum drawdown of -71.54%. Use the drawdown chart below to compare losses from any high point for PBT and XLE. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-52.08%
-2.30%
PBT
XLE

Volatility

PBT vs. XLE - Volatility Comparison

Permian Basin Royalty Trust (PBT) has a higher volatility of 12.67% compared to Energy Select Sector SPDR Fund (XLE) at 5.91%. This indicates that PBT's price experiences larger fluctuations and is considered to be riskier than XLE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
12.67%
5.91%
PBT
XLE