SQM vs. XLB
Compare and contrast key facts about Sociedad Química y Minera de Chile S.A. (SQM) and Materials Select Sector SPDR ETF (XLB).
XLB is a passively managed fund by State Street that tracks the performance of the Materials 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: SQM or XLB.
Performance
SQM vs. XLB - Performance Comparison
Returns By Period
In the year-to-date period, SQM achieves a -36.37% return, which is significantly lower than XLB's 8.09% return. Over the past 10 years, SQM has outperformed XLB with an annualized return of 9.03%, while XLB has yielded a comparatively lower 8.42% annualized return.
SQM
-36.37%
-2.63%
-20.29%
-18.30%
14.82%
9.03%
XLB
8.09%
-5.98%
-0.03%
16.20%
10.88%
8.42%
Key characteristics
| SQM | XLB | |
|---|---|---|
| Sharpe Ratio | -0.52 | 1.25 |
| Sortino Ratio | -0.53 | 1.75 |
| Omega Ratio | 0.94 | 1.22 |
| Calmar Ratio | -0.38 | 1.94 |
| Martin Ratio | -0.85 | 5.84 |
| Ulcer Index | 29.25% | 2.84% |
| Daily Std Dev | 47.65% | 13.28% |
| Max Drawdown | -77.80% | -59.83% |
| Current Drawdown | -61.50% | -6.50% |
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Correlation
The correlation between SQM and XLB is 0.48, 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
SQM vs. XLB - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sociedad Química y Minera de Chile S.A. (SQM) and Materials Select Sector SPDR ETF (XLB). 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
SQM vs. XLB - Dividend Comparison
SQM's dividend yield for the trailing twelve months is around 1.88%, less than XLB's 1.93% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SQM Sociedad Química y Minera de Chile S.A. | 1.88% | 8.51% | 9.79% | 3.90% | 1.65% | 4.59% | 5.41% | 2.39% | 5.31% | 2.41% | 5.83% | 3.96% |
XLB Materials Select Sector SPDR ETF | 1.93% | 2.00% | 2.26% | 1.62% | 1.72% | 1.98% | 2.20% | 1.66% | 1.95% | 2.24% | 1.97% | 2.08% |
Drawdowns
SQM vs. XLB - Drawdown Comparison
The maximum SQM drawdown since its inception was -77.80%, which is greater than XLB's maximum drawdown of -59.83%. Use the drawdown chart below to compare losses from any high point for SQM and XLB. For additional features, visit the drawdowns tool.
Volatility
SQM vs. XLB - Volatility Comparison
Sociedad Química y Minera de Chile S.A. (SQM) has a higher volatility of 12.36% compared to Materials Select Sector SPDR ETF (XLB) at 3.60%. This indicates that SQM's price experiences larger fluctuations and is considered to be riskier than XLB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.