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SLF vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SLF and SPY 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.


Performance

SLF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sun Life Financial Inc. (SLF) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SLF:

1.46

SPY:

0.68

Sortino Ratio

SLF:

2.13

SPY:

1.09

Omega Ratio

SLF:

1.30

SPY:

1.16

Calmar Ratio

SLF:

2.14

SPY:

0.73

Martin Ratio

SLF:

5.25

SPY:

2.81

Ulcer Index

SLF:

5.68%

SPY:

4.88%

Daily Std Dev

SLF:

19.14%

SPY:

20.30%

Max Drawdown

SLF:

-78.78%

SPY:

-55.19%

Current Drawdown

SLF:

0.00%

SPY:

-2.66%

Returns By Period

In the year-to-date period, SLF achieves a 7.65% return, which is significantly higher than SPY's 1.80% return. Over the past 10 years, SLF has underperformed SPY with an annualized return of 11.02%, while SPY has yielded a comparatively higher 12.75% annualized return.


SLF

YTD

7.65%

1M

12.00%

6M

6.39%

1Y

27.65%

3Y*

14.63%

5Y*

18.18%

10Y*

11.02%

SPY

YTD

1.80%

1M

13.00%

6M

1.78%

1Y

13.78%

3Y*

16.84%

5Y*

16.59%

10Y*

12.75%

*Annualized

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Sun Life Financial Inc.

SPDR S&P 500 ETF

Risk-Adjusted Performance

SLF vs. SPY — Risk-Adjusted Performance Rank

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

SLF
The Risk-Adjusted Performance Rank of SLF is 8989
Overall Rank
The Sharpe Ratio Rank of SLF is 9191
Sharpe Ratio Rank
The Sortino Ratio Rank of SLF is 8787
Sortino Ratio Rank
The Omega Ratio Rank of SLF is 8888
Omega Ratio Rank
The Calmar Ratio Rank of SLF is 9494
Calmar Ratio Rank
The Martin Ratio Rank of SLF is 8787
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6767
Overall Rank
The Sharpe Ratio Rank of SPY is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6464
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6868
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6868
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6767
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SLF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sun Life Financial Inc. (SLF) 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.


The current SLF Sharpe Ratio is 1.46, which is higher than the SPY Sharpe Ratio of 0.68. The chart below compares the historical Sharpe Ratios of SLF and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SLF vs. SPY - Dividend Comparison

SLF's dividend yield for the trailing twelve months is around 3.77%, more than SPY's 1.20% yield.


TTM20242023202220212020201920182017201620152014
SLF
Sun Life Financial Inc.
3.77%3.99%4.26%4.59%3.19%3.70%3.46%4.41%3.25%3.18%3.77%3.61%
SPY
SPDR S&P 500 ETF
1.20%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

SLF vs. SPY - Drawdown Comparison

The maximum SLF drawdown since its inception was -78.78%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SLF and SPY. For additional features, visit the drawdowns tool.


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Volatility

SLF vs. SPY - Volatility Comparison

The current volatility for Sun Life Financial Inc. (SLF) is 4.37%, while SPDR S&P 500 ETF (SPY) has a volatility of 5.51%. This indicates that SLF experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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