SLF.TO vs. XLF
Compare and contrast key facts about Sun Life Financial Inc. (SLF.TO) 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: SLF.TO or XLF.
Key characteristics
| SLF.TO | XLF | |
|---|---|---|
| YTD Return | 25.54% | 33.79% |
| 1Y Return | 32.09% | 49.31% |
| 3Y Return (Ann) | 10.57% | 9.45% |
| 5Y Return (Ann) | 11.00% | 13.15% |
| 10Y Return (Ann) | 11.66% | 11.95% |
| Sharpe Ratio | 2.17 | 3.54 |
| Sortino Ratio | 2.90 | 4.96 |
| Omega Ratio | 1.44 | 1.65 |
| Calmar Ratio | 2.71 | 3.19 |
| Martin Ratio | 6.96 | 25.45 |
| Ulcer Index | 4.71% | 1.93% |
| Daily Std Dev | 15.12% | 13.86% |
| Max Drawdown | -71.53% | -82.69% |
| Current Drawdown | 0.00% | -0.30% |
Correlation
The correlation between SLF.TO and XLF is 0.55, 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.
Performance
SLF.TO vs. XLF - Performance Comparison
In the year-to-date period, SLF.TO achieves a 25.54% return, which is significantly lower than XLF's 33.79% return. Both investments have delivered pretty close results over the past 10 years, with SLF.TO having a 11.66% annualized return and XLF not far ahead at 11.95%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
SLF.TO vs. XLF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sun Life Financial Inc. (SLF.TO) 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
SLF.TO vs. XLF - Dividend Comparison
SLF.TO's dividend yield for the trailing twelve months is around 3.81%, more than XLF's 1.34% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SLF.TO Sun Life Financial Inc. | 3.81% | 4.37% | 4.39% | 3.28% | 3.89% | 3.55% | 4.21% | 3.36% | 3.14% | 3.50% | 3.44% | 3.84% |
XLF Financial Select Sector SPDR Fund | 1.34% | 1.71% | 2.04% | 1.63% | 2.03% | 1.86% | 2.09% | 1.48% | 1.63% | 1.95% | 1.61% | 1.47% |
Drawdowns
SLF.TO vs. XLF - Drawdown Comparison
The maximum SLF.TO drawdown since its inception was -71.53%, smaller than the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for SLF.TO and XLF. For additional features, visit the drawdowns tool.
Volatility
SLF.TO vs. XLF - Volatility Comparison
The current volatility for Sun Life Financial Inc. (SLF.TO) is 5.17%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 7.08%. This indicates that SLF.TO 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.