RY vs. XLE
RY (Royal Bank of Canada) is a stock, while XLE (State Street Energy Select Sector SPDR ETF) is Energy Equities fund tracking the Energy Select Sector Index. Over the past 10 years, RY returned 17.68%/yr vs 9.88%/yr for XLE. Their 0.42 correlation means their historical movements had little consistent relationship.
Performance
RY vs. XLE - Performance Comparison
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Returns By Period
In the year-to-date period, RY achieves a 27.07% return, which is significantly lower than XLE's 30.54% return. Over the past 10 years, RY has outperformed XLE with an annualized return of 17.68%, while XLE has yielded a comparatively lower 9.88% annualized return.
RY
- 1D
- 1.37%
- 1M
- 5.33%
- 6M
- 27.41%
- YTD
- 27.07%
- 1Y
- 67.33%
- 3Y*
- 33.94%
- 5Y*
- 20.14%
- 10Y*
- 17.68%
- ALL TIME*
- 15.97%
XLE
- 1D
- -1.35%
- 1M
- 6.93%
- 6M
- 17.50%
- YTD
- 30.54%
- 1Y
- 34.78%
- 3Y*
- 13.87%
- 5Y*
- 22.44%
- 10Y*
- 9.88%
- ALL TIME*
- 8.74%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $334.22M | $320.51M | $295.63M | |
| $1.75B | $1.72B | $2.00B |
RY vs. XLE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
RY Royal Bank of Canada | 27.07% | 46.29% | 23.80% | 12.72% | -8.00% | 34.11% | 8.42% | 20.17% | -12.88% | 24.95% |
XLE State Street Energy Select Sector SPDR ETF | 30.54% | 7.88% | 5.56% | -0.63% | 64.32% | 53.28% | -32.67% | 11.74% | -18.22% | -0.89% |
Correlation
The correlation between RY and XLE is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.11 |
Correlation (3Y) Balances recent behavior with more history. | 0.15 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.33 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.44 |
Correlation (All Time) Calculated using the full available price history since Dec 22, 1998 | 0.42 |
The correlation between RY and XLE shifts across timeframes, from -0.11 (1 year) to 0.44 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
RY vs. XLE — Risk / Return Rank
RY
XLE
RY vs. XLE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Royal Bank of Canada (RY) and State Street Energy Select Sector SPDR ETF (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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| RY | XLE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.70 | ||
| Sortino ratioReturn per unit of downside risk | +3.78 | ||
| Omega ratioGain probability vs. loss probability | 1.76 | 1.27 | +0.48 |
| Calmar ratioReturn relative to maximum drawdown | 6.74 | 2.33 | +4.41 |
| Martin ratioReturn relative to average drawdown | 24.94 | 6.16 | +18.78 |
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Drawdowns
RY vs. XLE - Drawdown Comparison
The maximum RY drawdown since its inception was -62.90%, smaller than the maximum XLE drawdown of -71.26%. Use the drawdown chart below to compare losses from any high point for RY and XLE.
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Drawdown Indicators
| RY | XLE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.90% | -71.26% | +8.36% |
Max Drawdown (1Y)Largest decline over 1 year | -10.04% | -14.98% | +4.94% |
Max Drawdown (3Y)Largest decline over 3 years | -19.78% | -20.14% | +0.36% |
Max Drawdown (5Y)Largest decline over 5 years | -28.36% | -26.04% | -2.32% |
Max Drawdown (10Y)Largest decline over 10 years | -39.95% | -66.81% | +26.86% |
Current DrawdownCurrent decline from peak | -1.93% | -7.31% | +5.38% |
Average DrawdownAverage peak-to-trough decline | -9.29% | -17.94% | +8.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.71% | 5.66% | -2.95% |
Volatility
RY vs. XLE - Volatility Comparison
The current volatility for Royal Bank of Canada (RY) is 5.56%, while State Street Energy Select Sector SPDR ETF (XLE) has a volatility of 5.97%. This indicates that RY experiences smaller price fluctuations and is considered to be less risky than XLE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RY | XLE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.56% | 5.97% | -0.41% |
Volatility (6M)Calculated over the trailing 6-month period | 12.10% | 16.64% | -4.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.59% | 21.06% | -5.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.06% | 25.78% | -7.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.69% | 29.59% | -9.90% |
Dividends
RY vs. XLE - Dividend Comparison
RY's dividend yield for the trailing twelve months is around 2.24%, less than XLE's 2.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RY Royal Bank of Canada | 2.24% | 2.54% | 3.39% | 4.29% | 4.07% | 3.24% | 3.88% | 3.88% | 4.27% | 3.22% | 3.95% | 5.41% |
XLE State Street Energy Select Sector SPDR ETF | 2.64% | 3.28% | 3.36% | 3.55% | 3.68% | 4.21% | 5.62% | 6.72% | 3.54% | 3.03% | 2.26% | 3.39% |
Frequently Asked Questions
RY and XLE have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XLE has higher volatility (5.97%) compared to RY (5.56%). In terms of maximum drawdown, RY dropped -62.90% vs XLE's -71.26%.
RY currently has the higher Sharpe Ratio (4.36 vs 1.66), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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