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WUGI vs. XLY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


WUGIXLY
YTD Return46.97%21.87%
1Y Return60.85%34.68%
3Y Return (Ann)3.25%2.91%
Sharpe Ratio2.371.97
Sortino Ratio3.062.67
Omega Ratio1.401.33
Calmar Ratio1.881.60
Martin Ratio12.399.55
Ulcer Index4.91%3.69%
Daily Std Dev25.64%17.92%
Max Drawdown-56.41%-59.05%
Current Drawdown-3.14%-1.34%

Correlation

-0.50.00.51.00.7

The correlation between WUGI and XLY is 0.74, 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.

Performance

WUGI vs. XLY - Performance Comparison

In the year-to-date period, WUGI achieves a 46.97% return, which is significantly higher than XLY's 21.87% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
20.92%
21.69%
WUGI
XLY

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WUGI vs. XLY - Expense Ratio Comparison

WUGI has a 0.75% expense ratio, which is higher than XLY's 0.13% expense ratio.


WUGI
Esoterica NextG Economy ETF
Expense ratio chart for WUGI: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for XLY: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

WUGI vs. XLY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Esoterica NextG Economy ETF (WUGI) and Consumer Discretionary Select Sector SPDR Fund (XLY). 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.


WUGI
Sharpe ratio
The chart of Sharpe ratio for WUGI, currently valued at 2.37, compared to the broader market-2.000.002.004.006.002.37
Sortino ratio
The chart of Sortino ratio for WUGI, currently valued at 3.06, compared to the broader market-2.000.002.004.006.008.0010.0012.003.06
Omega ratio
The chart of Omega ratio for WUGI, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for WUGI, currently valued at 1.88, compared to the broader market0.005.0010.0015.001.88
Martin ratio
The chart of Martin ratio for WUGI, currently valued at 12.39, compared to the broader market0.0020.0040.0060.0080.00100.0012.39
XLY
Sharpe ratio
The chart of Sharpe ratio for XLY, currently valued at 1.97, compared to the broader market-2.000.002.004.006.001.97
Sortino ratio
The chart of Sortino ratio for XLY, currently valued at 2.67, compared to the broader market-2.000.002.004.006.008.0010.0012.002.67
Omega ratio
The chart of Omega ratio for XLY, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for XLY, currently valued at 1.60, compared to the broader market0.005.0010.0015.001.60
Martin ratio
The chart of Martin ratio for XLY, currently valued at 9.55, compared to the broader market0.0020.0040.0060.0080.00100.009.55

WUGI vs. XLY - Sharpe Ratio Comparison

The current WUGI Sharpe Ratio is 2.37, which is comparable to the XLY Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of WUGI and XLY, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.37
1.97
WUGI
XLY

Dividends

WUGI vs. XLY - Dividend Comparison

WUGI has not paid dividends to shareholders, while XLY's dividend yield for the trailing twelve months is around 0.69%.


TTM20232022202120202019201820172016201520142013
WUGI
Esoterica NextG Economy ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLY
Consumer Discretionary Select Sector SPDR Fund
0.69%0.78%1.00%0.53%0.82%1.28%1.34%1.20%1.71%1.43%1.31%1.16%

Drawdowns

WUGI vs. XLY - Drawdown Comparison

The maximum WUGI drawdown since its inception was -56.41%, roughly equal to the maximum XLY drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for WUGI and XLY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.14%
-1.34%
WUGI
XLY

Volatility

WUGI vs. XLY - Volatility Comparison

Esoterica NextG Economy ETF (WUGI) has a higher volatility of 8.16% compared to Consumer Discretionary Select Sector SPDR Fund (XLY) at 6.26%. This indicates that WUGI's price experiences larger fluctuations and is considered to be riskier than XLY 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%JuneJulyAugustSeptemberOctoberNovember
8.16%
6.26%
WUGI
XLY