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TD vs. XLF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TD and XLF is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.8

Performance

TD vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Toronto-Dominion Bank (TD) and Financial Select Sector SPDR Fund (XLF). The values are adjusted to include any dividend payments, if applicable.

500.00%1,000.00%1,500.00%2,000.00%2,500.00%NovemberDecember2025FebruaryMarchApril
2,595.78%
466.41%
TD
XLF

Key characteristics

Sharpe Ratio

TD:

0.56

XLF:

0.92

Sortino Ratio

TD:

0.84

XLF:

1.37

Omega Ratio

TD:

1.12

XLF:

1.20

Calmar Ratio

TD:

0.36

XLF:

1.20

Martin Ratio

TD:

1.31

XLF:

4.72

Ulcer Index

TD:

8.47%

XLF:

3.94%

Daily Std Dev

TD:

19.92%

XLF:

20.15%

Max Drawdown

TD:

-64.16%

XLF:

-82.43%

Current Drawdown

TD:

-14.79%

XLF:

-7.66%

Returns By Period

In the year-to-date period, TD achieves a 19.87% return, which is significantly higher than XLF's -0.28% return. Over the past 10 years, TD has underperformed XLF with an annualized return of 7.43%, while XLF has yielded a comparatively higher 13.97% annualized return.


TD

YTD

19.87%

1M

4.44%

6M

13.27%

1Y

10.22%

5Y*

13.54%

10Y*

7.43%

XLF

YTD

-0.28%

1M

-2.42%

6M

3.80%

1Y

19.47%

5Y*

18.42%

10Y*

13.97%

*Annualized

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Risk-Adjusted Performance

TD vs. XLF — Risk-Adjusted Performance Rank

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

TD
The Risk-Adjusted Performance Rank of TD is 6767
Overall Rank
The Sharpe Ratio Rank of TD is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of TD is 6262
Sortino Ratio Rank
The Omega Ratio Rank of TD is 6464
Omega Ratio Rank
The Calmar Ratio Rank of TD is 6868
Calmar Ratio Rank
The Martin Ratio Rank of TD is 6868
Martin Ratio Rank

XLF
The Risk-Adjusted Performance Rank of XLF is 8181
Overall Rank
The Sharpe Ratio Rank of XLF is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of XLF is 7979
Sortino Ratio Rank
The Omega Ratio Rank of XLF is 8080
Omega Ratio Rank
The Calmar Ratio Rank of XLF is 8686
Calmar Ratio Rank
The Martin Ratio Rank of XLF is 8484
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.

TD vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Toronto-Dominion Bank (TD) 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.


The chart of Sharpe ratio for TD, currently valued at 0.56, compared to the broader market-2.00-1.000.001.002.003.00
TD: 0.56
XLF: 0.92
The chart of Sortino ratio for TD, currently valued at 0.84, compared to the broader market-6.00-4.00-2.000.002.004.00
TD: 0.84
XLF: 1.37
The chart of Omega ratio for TD, currently valued at 1.12, compared to the broader market0.501.001.502.00
TD: 1.12
XLF: 1.20
The chart of Calmar ratio for TD, currently valued at 0.36, compared to the broader market0.001.002.003.004.005.00
TD: 0.36
XLF: 1.20
The chart of Martin ratio for TD, currently valued at 1.31, compared to the broader market-5.000.005.0010.0015.0020.00
TD: 1.31
XLF: 4.72

The current TD Sharpe Ratio is 0.56, which is lower than the XLF Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of TD and XLF, 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-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.56
0.92
TD
XLF

Dividends

TD vs. XLF - Dividend Comparison

TD's dividend yield for the trailing twelve months is around 4.74%, more than XLF's 1.48% yield.


TTM20242023202220212020201920182017201620152014
TD
The Toronto-Dominion Bank
4.74%5.65%4.40%4.24%3.27%4.10%3.89%4.09%3.08%3.29%4.07%3.54%
XLF
Financial Select Sector SPDR Fund
1.48%1.42%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%

Drawdowns

TD vs. XLF - Drawdown Comparison

The maximum TD drawdown since its inception was -64.16%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for TD and XLF. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-14.79%
-7.66%
TD
XLF

Volatility

TD vs. XLF - Volatility Comparison

The current volatility for The Toronto-Dominion Bank (TD) is 7.34%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 13.51%. This indicates that TD 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
7.34%
13.51%
TD
XLF