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XBI vs. FBT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XBI and FBT is 0.89, 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.


-0.50.00.51.00.9

Performance

XBI vs. FBT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Biotech ETF (XBI) and First Trust Amex Biotechnology Index (FBT). The values are adjusted to include any dividend payments, if applicable.

550.00%600.00%650.00%700.00%750.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
557.40%
758.69%
XBI
FBT

Key characteristics

Sharpe Ratio

XBI:

0.41

FBT:

0.61

Sortino Ratio

XBI:

0.74

FBT:

0.91

Omega Ratio

XBI:

1.09

FBT:

1.12

Calmar Ratio

XBI:

0.20

FBT:

0.46

Martin Ratio

XBI:

1.29

FBT:

2.16

Ulcer Index

XBI:

8.18%

FBT:

4.81%

Daily Std Dev

XBI:

25.90%

FBT:

17.14%

Max Drawdown

XBI:

-63.89%

FBT:

-40.51%

Current Drawdown

XBI:

-47.44%

FBT:

-8.59%

Returns By Period

In the year-to-date period, XBI achieves a 2.37% return, which is significantly lower than FBT's 5.45% return. Over the past 10 years, XBI has underperformed FBT with an annualized return of 4.32%, while FBT has yielded a comparatively higher 5.46% annualized return.


XBI

YTD

2.37%

1M

-3.20%

6M

-1.05%

1Y

4.32%

5Y*

-1.28%

10Y*

4.32%

FBT

YTD

5.45%

1M

1.05%

6M

9.20%

1Y

8.81%

5Y*

2.16%

10Y*

5.46%

Compare stocks, funds, or ETFs

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XBI vs. FBT - Expense Ratio Comparison

XBI has a 0.35% expense ratio, which is lower than FBT's 0.57% expense ratio.


FBT
First Trust Amex Biotechnology Index
Expense ratio chart for FBT: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%
Expense ratio chart for XBI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

XBI vs. FBT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Biotech ETF (XBI) and First Trust Amex Biotechnology Index (FBT). 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 XBI, currently valued at 0.41, compared to the broader market0.002.004.000.410.61
The chart of Sortino ratio for XBI, currently valued at 0.74, compared to the broader market-2.000.002.004.006.008.0010.000.740.91
The chart of Omega ratio for XBI, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.12
The chart of Calmar ratio for XBI, currently valued at 0.20, compared to the broader market0.005.0010.0015.000.200.46
The chart of Martin ratio for XBI, currently valued at 1.29, compared to the broader market0.0020.0040.0060.0080.00100.001.292.16
XBI
FBT

The current XBI Sharpe Ratio is 0.41, which is lower than the FBT Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of XBI and FBT, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.41
0.61
XBI
FBT

Dividends

XBI vs. FBT - Dividend Comparison

XBI's dividend yield for the trailing twelve months is around 0.14%, less than FBT's 0.71% yield.


TTM20232022202120202019201820172016201520142013
XBI
SPDR S&P Biotech ETF
0.14%0.02%0.00%0.04%0.20%0.00%0.28%0.24%0.26%0.61%1.07%0.17%
FBT
First Trust Amex Biotechnology Index
0.71%0.00%0.00%1.37%0.00%0.00%0.00%0.00%0.00%0.12%0.05%0.00%

Drawdowns

XBI vs. FBT - Drawdown Comparison

The maximum XBI drawdown since its inception was -63.89%, which is greater than FBT's maximum drawdown of -40.51%. Use the drawdown chart below to compare losses from any high point for XBI and FBT. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-47.44%
-8.59%
XBI
FBT

Volatility

XBI vs. FBT - Volatility Comparison

SPDR S&P Biotech ETF (XBI) has a higher volatility of 7.92% compared to First Trust Amex Biotechnology Index (FBT) at 5.93%. This indicates that XBI's price experiences larger fluctuations and is considered to be riskier than FBT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
7.92%
5.93%
XBI
FBT
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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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