SJT vs. SPY
Compare and contrast key facts about San Juan Basin Royalty Trust (SJT) 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: SJT or SPY.
Performance
SJT vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, SJT achieves a -22.92% return, which is significantly lower than SPY's 25.41% return. Over the past 10 years, SJT has underperformed SPY with an annualized return of -7.17%, while SPY has yielded a comparatively higher 13.07% annualized return.
SJT
-22.92%
-2.54%
-11.55%
-42.89%
21.54%
-7.17%
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| SJT | SPY | |
|---|---|---|
| Sharpe Ratio | -1.07 | 2.62 |
| Sortino Ratio | -1.62 | 3.50 |
| Omega Ratio | 0.83 | 1.49 |
| Calmar Ratio | -0.56 | 3.78 |
| Martin Ratio | -1.16 | 17.00 |
| Ulcer Index | 37.40% | 1.87% |
| Daily Std Dev | 40.72% | 12.14% |
| Max Drawdown | -92.83% | -55.19% |
| Current Drawdown | -73.23% | -1.38% |
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Correlation
The correlation between SJT and SPY is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
SJT vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for San Juan Basin Royalty Trust (SJT) 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
SJT vs. SPY - Dividend Comparison
SJT's dividend yield for the trailing twelve months is around 3.65%, more than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SJT San Juan Basin Royalty Trust | 3.65% | 21.81% | 14.58% | 12.67% | 5.96% | 6.83% | 8.04% | 10.19% | 4.51% | 8.81% | 9.01% | 4.68% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
SJT vs. SPY - Drawdown Comparison
The maximum SJT drawdown since its inception was -92.83%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SJT and SPY. For additional features, visit the drawdowns tool.
Volatility
SJT vs. SPY - Volatility Comparison
San Juan Basin Royalty Trust (SJT) has a higher volatility of 11.47% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that SJT'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.