SHG vs. XLF

Last updated Jun 24, 2026

SHG (Shinhan Financial Group Co., Ltd.) is a stock, while XLF (State Street Financial Select Sector SPDR ETF) is Financials Equities fund tracking the Financial Select Sector Index. Over the past 10 years, SHG returned 10.10%/yr vs 13.72%/yr for XLF. At a 0.44 correlation, their price movements are largely independent.

Performance

SHG vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Shinhan Financial Group Co., Ltd. (SHG) and State Street Financial Select Sector SPDR ETF (XLF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SHG achieves a 21.76% return, which is significantly higher than XLF's -0.77% return. Over the past 10 years, SHG has underperformed XLF with an annualized return of 10.10%, while XLF has yielded a comparatively higher 13.72% annualized return.

SHG

• 1D: -1.30%
• 1M: 1.54%
• YTD: 21.76%
• 6M: 24.19%
• 1Y: 52.51%
• 3Y*: 41.20%
• 5Y*: 16.90%
• 10Y*: 10.10%

XLF

• 1D: 0.34%
• 1M: 4.10%
• YTD: -0.77%
• 6M: -1.95%
• 1Y: 7.67%
• 3Y*: 19.94%
• 5Y*: 10.00%
• 10Y*: 13.72%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SHG vs. XLF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SHG Shinhan Financial Group Co., Ltd.	21.76%	68.28%	12.80%	15.25%	-4.61%	5.27%	-21.83%	7.27%	-23.51%	23.27%
XLF State Street Financial Select Sector SPDR ETF	-0.77%	14.90%	30.56%	12.03%	-10.59%	34.80%	-1.74%	31.88%	-13.06%	22.00%

Correlation

The correlation between SHG and XLF is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.25
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.43
Correlation (10Y) Calculated over the trailing 10-year period	0.44
Correlation (All Time) Calculated using the full available price history since Sep 16, 2003	0.44

The correlation between SHG and XLF shifts across timeframes, from 0.25 (1 year) to 0.44 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SHG vs. XLF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SHG

SHG Risk / Return Rank: 83
SHG Sharpe Ratio Rank: 85
SHG Sortino Ratio Rank: 83
SHG Omega Ratio Rank: 79
SHG Calmar Ratio Rank: 83
SHG Martin Ratio Rank: 84

XLF

XLF Risk / Return Rank: 15
XLF Sharpe Ratio Rank: 17
XLF Sortino Ratio Rank: 16
XLF Omega Ratio Rank: 16
XLF Calmar Ratio Rank: 15
XLF Martin Ratio Rank: 15

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SHG vs. XLF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Shinhan Financial Group Co., Ltd. (SHG) and State Street Financial Select Sector SPDR ETF (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.

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.

	SHG	XLF	Difference
Sharpe ratio: Return per unit of total volatility	1.70	0.53	+1.17
Sortino ratio: Return per unit of downside risk	2.41	0.81	+1.60
Omega ratio: Gain probability vs. loss probability	1.28	1.10	+0.18
Calmar ratio: Return relative to maximum drawdown	2.93	0.52	+2.41
Martin ratio: Return relative to average drawdown	7.97	1.33	+6.64

SHG vs. XLF - Sharpe Ratio Comparison

The current SHG Sharpe Ratio is 1.70, which is higher than the XLF Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of SHG and XLF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SHG vs. XLF - Drawdown Comparison

The maximum SHG drawdown since its inception was -82.02%, roughly equal to the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for SHG and XLF.

Drawdown Indicators

	SHG	XLF	Difference
Max Drawdown Largest peak-to-trough decline	-82.02%	-82.69%	+0.67%
Max Drawdown (1Y) Largest decline over 1 year	-18.03%	-14.79%	-3.24%
Max Drawdown (3Y) Largest decline over 3 years	-35.19%	-15.54%	-19.65%
Max Drawdown (5Y) Largest decline over 5 years	-35.19%	-25.81%	-9.38%
Max Drawdown (10Y) Largest decline over 10 years	-65.50%	-42.86%	-22.64%
Current Drawdown Current decline from peak	-8.95%	-3.64%	-5.31%
Average Drawdown Average peak-to-trough decline	-33.78%	-19.99%	-13.79%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.61%	5.79%	+0.82%

Volatility

SHG vs. XLF - Volatility Comparison

Shinhan Financial Group Co., Ltd. (SHG) has a higher volatility of 11.91% compared to State Street Financial Select Sector SPDR ETF (XLF) at 4.12%. This indicates that SHG's price experiences larger fluctuations and is considered to be riskier than XLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SHG	XLF	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.91%	4.12%	+7.79%
Volatility (6M) Calculated over the trailing 6-month period	23.95%	11.27%	+12.68%
Volatility (1Y) Calculated over the trailing 1-year period	31.08%	14.62%	+16.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	30.12%	18.58%	+11.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	30.30%	22.11%	+8.19%

Dividends

SHG vs. XLF - Dividend Comparison

SHG's dividend yield for the trailing twelve months is around 0.63%, less than XLF's 1.50% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SHG Shinhan Financial Group Co., Ltd.	0.63%	2.24%	5.96%	3.87%	5.54%	1.54%	0.00%	0.00%	0.00%	0.00%	3.35%	3.10%
XLF State Street Financial Select Sector SPDR ETF	1.50%	1.31%	1.42%	1.71%	2.04%	1.63%	2.03%	1.87%	2.08%	1.48%	21.10%	1.95%

Frequently Asked Questions

Can I hold both SHG and XLF in my portfolio?

SHG and XLF have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SHG or XLF?

SHG has higher volatility (11.91%) compared to XLF (4.12%). In terms of maximum drawdown, SHG dropped -82.02% vs XLF's -82.69%.

Which has better risk-adjusted returns?

SHG currently has the higher Sharpe Ratio (1.70 vs 0.53), 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.