RY vs. XLF
Compare and contrast key facts about Royal Bank of Canada (RY) and Financial Select Sector SPDR Fund (XLF).
XLF is a passively managed fund by State Street that tracks the performance of the Financial Select Sector Index. It was launched on Dec 16, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RY or XLF.
Performance
RY vs. XLF - Performance Comparison
Returns By Period
In the year-to-date period, RY achieves a 25.77% return, which is significantly lower than XLF's 34.55% return. Over the past 10 years, RY has underperformed XLF with an annualized return of 9.51%, while XLF has yielded a comparatively higher 11.95% annualized return.
RY
25.77%
-2.07%
17.73%
44.53%
12.88%
9.51%
XLF
34.55%
5.04%
20.26%
45.22%
13.23%
11.95%
Key characteristics
| RY | XLF | |
|---|---|---|
| Sharpe Ratio | 2.95 | 3.34 |
| Sortino Ratio | 4.28 | 4.70 |
| Omega Ratio | 1.52 | 1.61 |
| Calmar Ratio | 2.18 | 3.68 |
| Martin Ratio | 19.95 | 23.82 |
| Ulcer Index | 2.31% | 1.93% |
| Daily Std Dev | 15.64% | 13.77% |
| Max Drawdown | -63.03% | -82.69% |
| Current Drawdown | -2.39% | 0.00% |
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Correlation
The correlation between RY and XLF is 0.56, 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
RY vs. XLF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Royal Bank of Canada (RY) 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.
Dividends
RY vs. XLF - Dividend Comparison
RY's dividend yield for the trailing twelve months is around 3.34%, more than XLF's 1.33% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RY Royal Bank of Canada | 3.34% | 3.93% | 4.12% | 3.28% | 3.86% | 3.88% | 4.29% | 3.28% | 3.59% | 4.54% | 3.73% | 3.69% |
XLF Financial Select Sector SPDR Fund | 1.33% | 1.71% | 2.04% | 1.63% | 2.03% | 1.86% | 2.09% | 1.48% | 1.63% | 1.95% | 1.61% | 1.47% |
Drawdowns
RY vs. XLF - Drawdown Comparison
The maximum RY drawdown since its inception was -63.03%, smaller than the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for RY and XLF. For additional features, visit the drawdowns tool.
Volatility
RY vs. XLF - Volatility Comparison
The current volatility for Royal Bank of Canada (RY) is 3.88%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 7.04%. This indicates that RY experiences smaller price fluctuations and is considered to be less risky than XLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.