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SQM vs. XME
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SQM and XME 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.


-0.50.00.51.00.5

Performance

SQM vs. XME - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sociedad Química y Minera de Chile S.A. (SQM) and SPDR S&P Metals & Mining ETF (XME). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
622.90%
60.58%
SQM
XME

Key characteristics

Sharpe Ratio

SQM:

-0.75

XME:

-0.11

Sortino Ratio

SQM:

-0.98

XME:

0.02

Omega Ratio

SQM:

0.89

XME:

1.00

Calmar Ratio

SQM:

-0.51

XME:

-0.10

Martin Ratio

SQM:

-1.06

XME:

-0.40

Ulcer Index

SQM:

31.42%

XME:

7.04%

Daily Std Dev

SQM:

44.17%

XME:

25.48%

Max Drawdown

SQM:

-77.80%

XME:

-85.94%

Current Drawdown

SQM:

-62.36%

XME:

-24.44%

Returns By Period

In the year-to-date period, SQM achieves a -37.80% return, which is significantly lower than XME's -4.54% return. Over the past 10 years, SQM has outperformed XME with an annualized return of 9.22%, while XME has yielded a comparatively lower 8.04% annualized return.


SQM

YTD

-37.80%

1M

-5.93%

6M

-8.56%

1Y

-37.72%

5Y*

11.33%

10Y*

9.22%

XME

YTD

-4.54%

1M

-17.03%

6M

-3.47%

1Y

-6.01%

5Y*

15.86%

10Y*

8.04%

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Risk-Adjusted Performance

SQM vs. XME - 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 SPDR S&P Metals & Mining ETF (XME). 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 SQM, currently valued at -0.75, compared to the broader market-4.00-2.000.002.00-0.75-0.11
The chart of Sortino ratio for SQM, currently valued at -0.98, compared to the broader market-4.00-2.000.002.004.00-0.980.02
The chart of Omega ratio for SQM, currently valued at 0.89, compared to the broader market0.501.001.502.000.891.00
The chart of Calmar ratio for SQM, currently valued at -0.51, compared to the broader market0.002.004.006.00-0.51-0.10
The chart of Martin ratio for SQM, currently valued at -1.06, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.06-0.40
SQM
XME

The current SQM Sharpe Ratio is -0.75, which is lower than the XME Sharpe Ratio of -0.11. The chart below compares the historical Sharpe Ratios of SQM and XME, 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 Ratio-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.75
-0.11
SQM
XME

Dividends

SQM vs. XME - Dividend Comparison

SQM's dividend yield for the trailing twelve months is around 0.57%, more than XME's 0.54% yield.


TTM20232022202120202019201820172016201520142013
SQM
Sociedad Química y Minera de Chile S.A.
0.57%8.51%9.79%3.90%1.65%4.59%5.41%2.39%5.31%2.41%5.83%3.96%
XME
SPDR S&P Metals & Mining ETF
0.54%1.00%1.64%0.70%0.99%2.43%2.23%1.15%1.02%2.61%2.21%1.32%

Drawdowns

SQM vs. XME - Drawdown Comparison

The maximum SQM drawdown since its inception was -77.80%, smaller than the maximum XME drawdown of -85.94%. Use the drawdown chart below to compare losses from any high point for SQM and XME. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-62.36%
-24.44%
SQM
XME

Volatility

SQM vs. XME - Volatility Comparison

Sociedad Química y Minera de Chile S.A. (SQM) has a higher volatility of 11.25% compared to SPDR S&P Metals & Mining ETF (XME) at 6.28%. This indicates that SQM's price experiences larger fluctuations and is considered to be riskier than XME 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%JulyAugustSeptemberOctoberNovemberDecember
11.25%
6.28%
SQM
XME
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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