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PSX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PSXSPY
YTD Return-1.81%26.77%
1Y Return15.57%37.43%
3Y Return (Ann)22.85%10.15%
5Y Return (Ann)5.70%15.86%
10Y Return (Ann)9.81%13.33%
Sharpe Ratio0.643.06
Sortino Ratio1.024.08
Omega Ratio1.131.58
Calmar Ratio0.554.44
Martin Ratio1.0520.11
Ulcer Index15.52%1.85%
Daily Std Dev25.39%12.18%
Max Drawdown-64.21%-55.19%
Current Drawdown-24.85%-0.31%

Correlation

-0.50.00.51.00.5

The correlation between PSX and SPY is 0.48, 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

PSX vs. SPY - Performance Comparison

In the year-to-date period, PSX achieves a -1.81% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, PSX has underperformed SPY with an annualized return of 9.81%, while SPY has yielded a comparatively higher 13.33% 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%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-10.40%
14.79%
PSX
SPY

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Risk-Adjusted Performance

PSX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Phillips 66 (PSX) and SPDR S&P 500 ETF (SPY). 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.


PSX
Sharpe ratio
The chart of Sharpe ratio for PSX, currently valued at 0.64, compared to the broader market-4.00-2.000.002.004.000.64
Sortino ratio
The chart of Sortino ratio for PSX, currently valued at 1.02, compared to the broader market-4.00-2.000.002.004.006.001.02
Omega ratio
The chart of Omega ratio for PSX, currently valued at 1.13, compared to the broader market0.501.001.502.001.13
Calmar ratio
The chart of Calmar ratio for PSX, currently valued at 0.55, compared to the broader market0.002.004.006.000.55
Martin ratio
The chart of Martin ratio for PSX, currently valued at 1.05, compared to the broader market0.0010.0020.0030.001.05
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-4.00-2.000.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-4.00-2.000.002.004.006.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.002.004.006.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0010.0020.0030.0020.11

PSX vs. SPY - Sharpe Ratio Comparison

The current PSX Sharpe Ratio is 0.64, which is lower than the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of PSX and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.64
3.06
PSX
SPY

Dividends

PSX vs. SPY - Dividend Comparison

PSX's dividend yield for the trailing twelve months is around 3.45%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
PSX
Phillips 66
3.45%3.15%3.68%5.00%5.15%3.14%3.60%2.70%2.84%2.67%2.64%1.72%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

PSX vs. SPY - Drawdown Comparison

The maximum PSX drawdown since its inception was -64.21%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PSX and SPY. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-24.85%
-0.31%
PSX
SPY

Volatility

PSX vs. SPY - Volatility Comparison

Phillips 66 (PSX) has a higher volatility of 8.18% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that PSX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.18%
3.88%
PSX
SPY