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SPXC vs. XBI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SPXC vs. XBI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPX Corporation (SPXC) and SPDR S&P Biotech ETF (XBI). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.42%
-0.34%
SPXC
XBI

Returns By Period

In the year-to-date period, SPXC achieves a 61.44% return, which is significantly higher than XBI's 2.99% return. Over the past 10 years, SPXC has outperformed XBI with an annualized return of 21.67%, while XBI has yielded a comparatively lower 5.08% annualized return.


SPXC

YTD

61.44%

1M

-5.05%

6M

16.38%

1Y

89.20%

5Y (annualized)

27.97%

10Y (annualized)

21.67%

XBI

YTD

2.99%

1M

-8.40%

6M

0.85%

1Y

31.15%

5Y (annualized)

1.69%

10Y (annualized)

5.08%

Key characteristics


SPXCXBI
Sharpe Ratio2.661.10
Sortino Ratio3.061.64
Omega Ratio1.431.19
Calmar Ratio5.370.49
Martin Ratio17.183.79
Ulcer Index5.14%7.75%
Daily Std Dev33.21%26.68%
Max Drawdown-81.12%-63.89%
Current Drawdown-5.05%-47.12%

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Correlation

-0.50.00.51.00.4

The correlation between SPXC and XBI is 0.43, 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

SPXC vs. XBI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPX Corporation (SPXC) and SPDR S&P Biotech ETF (XBI). 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.


Sharpe ratio
The chart of Sharpe ratio for SPXC, currently valued at 2.66, compared to the broader market-4.00-2.000.002.004.002.661.10
The chart of Sortino ratio for SPXC, currently valued at 3.06, compared to the broader market-4.00-2.000.002.004.003.061.64
The chart of Omega ratio for SPXC, currently valued at 1.43, compared to the broader market0.501.001.502.001.431.19
The chart of Calmar ratio for SPXC, currently valued at 5.37, compared to the broader market0.002.004.006.005.370.49
The chart of Martin ratio for SPXC, currently valued at 17.18, compared to the broader market0.0010.0020.0030.0017.183.79
SPXC
XBI

The current SPXC Sharpe Ratio is 2.66, which is higher than the XBI Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of SPXC and XBI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.66
1.10
SPXC
XBI

Dividends

SPXC vs. XBI - Dividend Comparison

SPXC has not paid dividends to shareholders, while XBI's dividend yield for the trailing twelve months is around 0.16%.


TTM20232022202120202019201820172016201520142013
SPXC
SPX Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%2.02%1.75%1.00%
XBI
SPDR S&P Biotech ETF
0.16%0.02%0.00%0.04%0.20%0.00%0.28%0.24%0.26%0.61%1.07%0.17%

Drawdowns

SPXC vs. XBI - Drawdown Comparison

The maximum SPXC drawdown since its inception was -81.12%, which is greater than XBI's maximum drawdown of -63.89%. Use the drawdown chart below to compare losses from any high point for SPXC and XBI. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.05%
-47.12%
SPXC
XBI

Volatility

SPXC vs. XBI - Volatility Comparison

SPX Corporation (SPXC) has a higher volatility of 14.98% compared to SPDR S&P Biotech ETF (XBI) at 8.44%. This indicates that SPXC's price experiences larger fluctuations and is considered to be riskier than XBI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
14.98%
8.44%
SPXC
XBI