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

Key characteristics


XBISWPPX
YTD Return0.77%7.98%
1Y Return7.17%28.19%
3Y Return (Ann)-11.51%8.85%
5Y Return (Ann)0.91%13.59%
10Y Return (Ann)8.13%12.67%
Sharpe Ratio0.292.31
Daily Std Dev27.90%11.81%
Max Drawdown-63.89%-55.06%
Current Drawdown-48.26%-2.33%

Correlation

-0.50.00.51.00.6

The correlation between XBI and SWPPX is 0.61, 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.

Performance

XBI vs. SWPPX - Performance Comparison

In the year-to-date period, XBI achieves a 0.77% return, which is significantly lower than SWPPX's 7.98% return. Over the past 10 years, XBI has underperformed SWPPX with an annualized return of 8.13%, while SWPPX has yielded a comparatively higher 12.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


350.00%400.00%450.00%500.00%550.00%December2024FebruaryMarchAprilMay
476.43%
477.50%
XBI
SWPPX

Compare stocks, funds, or ETFs

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


SPDR S&P Biotech ETF

Schwab S&P 500 Index Fund

XBI vs. SWPPX - Expense Ratio Comparison

XBI has a 0.35% expense ratio, which is higher than SWPPX's 0.02% expense ratio.


XBI
SPDR S&P Biotech ETF
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%
Expense ratio chart for SWPPX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

XBI vs. SWPPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Biotech ETF (XBI) and Schwab S&P 500 Index Fund (SWPPX). 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.


XBI
Sharpe ratio
The chart of Sharpe ratio for XBI, currently valued at 0.29, compared to the broader market0.002.004.000.29
Sortino ratio
The chart of Sortino ratio for XBI, currently valued at 0.62, compared to the broader market-2.000.002.004.006.008.000.62
Omega ratio
The chart of Omega ratio for XBI, currently valued at 1.07, compared to the broader market0.501.001.502.002.501.07
Calmar ratio
The chart of Calmar ratio for XBI, currently valued at 0.13, compared to the broader market0.002.004.006.008.0010.0012.000.13
Martin ratio
The chart of Martin ratio for XBI, currently valued at 0.64, compared to the broader market0.0020.0040.0060.0080.000.64
SWPPX
Sharpe ratio
The chart of Sharpe ratio for SWPPX, currently valued at 2.31, compared to the broader market0.002.004.002.31
Sortino ratio
The chart of Sortino ratio for SWPPX, currently valued at 3.31, compared to the broader market-2.000.002.004.006.008.003.31
Omega ratio
The chart of Omega ratio for SWPPX, currently valued at 1.40, compared to the broader market0.501.001.502.002.501.40
Calmar ratio
The chart of Calmar ratio for SWPPX, currently valued at 2.02, compared to the broader market0.002.004.006.008.0010.0012.002.02
Martin ratio
The chart of Martin ratio for SWPPX, currently valued at 9.46, compared to the broader market0.0020.0040.0060.0080.009.46

XBI vs. SWPPX - Sharpe Ratio Comparison

The current XBI Sharpe Ratio is 0.29, which is lower than the SWPPX Sharpe Ratio of 2.31. The chart below compares the 12-month rolling Sharpe Ratio of XBI and SWPPX.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
0.29
2.31
XBI
SWPPX

Dividends

XBI vs. SWPPX - Dividend Comparison

XBI's dividend yield for the trailing twelve months is around 0.02%, less than SWPPX's 1.33% yield.


TTM20232022202120202019201820172016201520142013
XBI
SPDR S&P Biotech ETF
0.02%0.02%0.00%0.04%0.20%0.00%0.28%0.24%0.26%0.61%1.07%0.17%
SWPPX
Schwab S&P 500 Index Fund
1.33%1.43%1.67%1.27%1.81%1.95%2.66%1.78%2.55%3.17%1.80%1.67%

Drawdowns

XBI vs. SWPPX - Drawdown Comparison

The maximum XBI drawdown since its inception was -63.89%, which is greater than SWPPX's maximum drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for XBI and SWPPX. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-48.26%
-2.33%
XBI
SWPPX

Volatility

XBI vs. SWPPX - Volatility Comparison

SPDR S&P Biotech ETF (XBI) has a higher volatility of 7.97% compared to Schwab S&P 500 Index Fund (SWPPX) at 4.10%. This indicates that XBI's price experiences larger fluctuations and is considered to be riskier than SWPPX 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%December2024FebruaryMarchAprilMay
7.97%
4.10%
XBI
SWPPX