RLI vs. SPY
Compare and contrast key facts about RLI Corp. (RLI) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RLI or SPY.
Performance
RLI vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, RLI achieves a 34.44% return, which is significantly higher than SPY's 26.47% return. Over the past 10 years, RLI has outperformed SPY with an annualized return of 17.64%, while SPY has yielded a comparatively lower 13.14% annualized return.
RLI
34.44%
11.41%
22.46%
30.39%
15.26%
17.64%
SPY
26.47%
3.03%
13.19%
32.65%
15.68%
13.14%
Key characteristics
| RLI | SPY | |
|---|---|---|
| Sharpe Ratio | 1.57 | 2.69 |
| Sortino Ratio | 2.13 | 3.59 |
| Omega Ratio | 1.29 | 1.50 |
| Calmar Ratio | 2.25 | 3.88 |
| Martin Ratio | 8.60 | 17.47 |
| Ulcer Index | 3.53% | 1.87% |
| Daily Std Dev | 19.36% | 12.14% |
| Max Drawdown | -64.05% | -55.19% |
| Current Drawdown | -0.05% | -0.54% |
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Correlation
The correlation between RLI and SPY 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.
Risk-Adjusted Performance
RLI vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for RLI Corp. (RLI) 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.
Dividends
RLI vs. SPY - Dividend Comparison
RLI's dividend yield for the trailing twelve months is around 0.40%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RLI RLI Corp. | 0.40% | 0.40% | 2.96% | 0.44% | 0.46% | 0.93% | 1.36% | 2.13% | 2.21% | 2.23% | 3.76% | 2.23% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
RLI vs. SPY - Drawdown Comparison
The maximum RLI drawdown since its inception was -64.05%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RLI and SPY. For additional features, visit the drawdowns tool.
Volatility
RLI vs. SPY - Volatility Comparison
RLI Corp. (RLI) has a higher volatility of 6.54% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that RLI'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.