PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VRTX vs. XLE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VRTXXLE
YTD Return-1.71%14.94%
1Y Return20.79%16.38%
3Y Return (Ann)22.53%31.55%
5Y Return (Ann)18.35%12.66%
10Y Return (Ann)20.14%4.19%
Sharpe Ratio0.900.82
Daily Std Dev23.82%19.26%
Max Drawdown-91.77%-71.54%
Current Drawdown-10.35%-2.54%

Correlation

-0.50.00.51.00.3

The correlation between VRTX and XLE is 0.25, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

VRTX vs. XLE - Performance Comparison

In the year-to-date period, VRTX achieves a -1.71% return, which is significantly lower than XLE's 14.94% return. Over the past 10 years, VRTX has outperformed XLE with an annualized return of 20.14%, while XLE has yielded a comparatively lower 4.19% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%NovemberDecember2024FebruaryMarchApril
2,875.60%
669.48%
VRTX
XLE

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Vertex Pharmaceuticals Incorporated

Energy Select Sector SPDR Fund

Risk-Adjusted Performance

VRTX vs. XLE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vertex Pharmaceuticals Incorporated (VRTX) and Energy Select Sector SPDR Fund (XLE). 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.


VRTX
Sharpe ratio
The chart of Sharpe ratio for VRTX, currently valued at 0.90, compared to the broader market-2.00-1.000.001.002.003.000.90
Sortino ratio
The chart of Sortino ratio for VRTX, currently valued at 1.58, compared to the broader market-4.00-2.000.002.004.001.58
Omega ratio
The chart of Omega ratio for VRTX, currently valued at 1.20, compared to the broader market0.501.001.501.20
Calmar ratio
The chart of Calmar ratio for VRTX, currently valued at 1.81, compared to the broader market0.001.002.003.004.005.001.81
Martin ratio
The chart of Martin ratio for VRTX, currently valued at 4.36, compared to the broader market0.0010.0020.0030.004.36
XLE
Sharpe ratio
The chart of Sharpe ratio for XLE, currently valued at 0.82, compared to the broader market-2.00-1.000.001.002.003.000.82
Sortino ratio
The chart of Sortino ratio for XLE, currently valued at 1.24, compared to the broader market-4.00-2.000.002.004.001.24
Omega ratio
The chart of Omega ratio for XLE, currently valued at 1.15, compared to the broader market0.501.001.501.15
Calmar ratio
The chart of Calmar ratio for XLE, currently valued at 0.93, compared to the broader market0.001.002.003.004.005.000.93
Martin ratio
The chart of Martin ratio for XLE, currently valued at 2.41, compared to the broader market0.0010.0020.0030.002.41

VRTX vs. XLE - Sharpe Ratio Comparison

The current VRTX Sharpe Ratio is 0.90, which roughly equals the XLE Sharpe Ratio of 0.82. The chart below compares the 12-month rolling Sharpe Ratio of VRTX and XLE.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00NovemberDecember2024FebruaryMarchApril
0.90
0.82
VRTX
XLE

Dividends

VRTX vs. XLE - Dividend Comparison

VRTX has not paid dividends to shareholders, while XLE's dividend yield for the trailing twelve months is around 3.05%.


TTM20232022202120202019201820172016201520142013
VRTX
Vertex Pharmaceuticals Incorporated
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLE
Energy Select Sector SPDR Fund
3.05%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%

Drawdowns

VRTX vs. XLE - Drawdown Comparison

The maximum VRTX drawdown since its inception was -91.77%, which is greater than XLE's maximum drawdown of -71.54%. Use the drawdown chart below to compare losses from any high point for VRTX and XLE. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-10.35%
-2.54%
VRTX
XLE

Volatility

VRTX vs. XLE - Volatility Comparison

Vertex Pharmaceuticals Incorporated (VRTX) has a higher volatility of 4.16% compared to Energy Select Sector SPDR Fund (XLE) at 3.83%. This indicates that VRTX's price experiences larger fluctuations and is considered to be riskier than XLE 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%NovemberDecember2024FebruaryMarchApril
4.16%
3.83%
VRTX
XLE