PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XLB vs. JNK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XLB and JNK is 0.57, 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.


-0.50.00.51.0
Correlation: 0.6

Performance

XLB vs. JNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Materials Select Sector SPDR ETF (XLB) and SPDR Barclays High Yield Bond ETF (JNK). The values are adjusted to include any dividend payments, if applicable.

120.00%140.00%160.00%180.00%200.00%220.00%240.00%NovemberDecember2025FebruaryMarchApril
210.22%
125.00%
XLB
JNK

Key characteristics

Sharpe Ratio

XLB:

-0.30

JNK:

1.85

Sortino Ratio

XLB:

-0.33

JNK:

2.68

Omega Ratio

XLB:

0.96

JNK:

1.34

Calmar Ratio

XLB:

-0.30

JNK:

3.35

Martin Ratio

XLB:

-0.68

JNK:

12.91

Ulcer Index

XLB:

6.34%

JNK:

0.62%

Daily Std Dev

XLB:

14.22%

JNK:

4.31%

Max Drawdown

XLB:

-59.83%

JNK:

-38.48%

Current Drawdown

XLB:

-9.99%

JNK:

-0.89%

Returns By Period

In the year-to-date period, XLB achieves a 3.90% return, which is significantly higher than JNK's 1.39% return. Over the past 10 years, XLB has outperformed JNK with an annualized return of 8.10%, while JNK has yielded a comparatively lower 3.75% annualized return.


XLB

YTD

3.90%

1M

0.51%

6M

-8.24%

1Y

-3.94%

5Y*

17.75%

10Y*

8.10%

JNK

YTD

1.39%

1M

-0.67%

6M

1.22%

1Y

8.20%

5Y*

7.05%

10Y*

3.75%

*Annualized

Compare stocks, funds, or ETFs

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


XLB vs. JNK - Expense Ratio Comparison

XLB has a 0.13% expense ratio, which is lower than JNK's 0.40% expense ratio.


JNK
SPDR Barclays High Yield Bond ETF
Expense ratio chart for JNK: current value is 0.40%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
JNK: 0.40%
Expense ratio chart for XLB: current value is 0.13%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XLB: 0.13%

Risk-Adjusted Performance

XLB vs. JNK — Risk-Adjusted Performance Rank

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

XLB
The Risk-Adjusted Performance Rank of XLB is 99
Overall Rank
The Sharpe Ratio Rank of XLB is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of XLB is 88
Sortino Ratio Rank
The Omega Ratio Rank of XLB is 88
Omega Ratio Rank
The Calmar Ratio Rank of XLB is 77
Calmar Ratio Rank
The Martin Ratio Rank of XLB is 1010
Martin Ratio Rank

JNK
The Risk-Adjusted Performance Rank of JNK is 9393
Overall Rank
The Sharpe Ratio Rank of JNK is 9292
Sharpe Ratio Rank
The Sortino Ratio Rank of JNK is 9292
Sortino Ratio Rank
The Omega Ratio Rank of JNK is 9292
Omega Ratio Rank
The Calmar Ratio Rank of JNK is 9494
Calmar Ratio Rank
The Martin Ratio Rank of JNK is 9494
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.

XLB vs. JNK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Materials Select Sector SPDR ETF (XLB) and SPDR Barclays High Yield Bond ETF (JNK). 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 XLB, currently valued at -0.30, compared to the broader market-1.000.001.002.003.004.005.00
XLB: -0.30
JNK: 1.85
The chart of Sortino ratio for XLB, currently valued at -0.33, compared to the broader market-2.000.002.004.006.008.0010.0012.00
XLB: -0.33
JNK: 2.68
The chart of Omega ratio for XLB, currently valued at 0.96, compared to the broader market0.501.001.502.002.503.00
XLB: 0.96
JNK: 1.34
The chart of Calmar ratio for XLB, currently valued at -0.30, compared to the broader market0.005.0010.0015.00
XLB: -0.30
JNK: 3.35
The chart of Martin ratio for XLB, currently valued at -0.68, compared to the broader market0.0020.0040.0060.0080.00100.00
XLB: -0.68
JNK: 12.91

The current XLB Sharpe Ratio is -0.30, which is lower than the JNK Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of XLB and JNK, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.30
1.85
XLB
JNK

Dividends

XLB vs. JNK - Dividend Comparison

XLB's dividend yield for the trailing twelve months is around 1.95%, less than JNK's 6.68% yield.


TTM20242023202220212020201920182017201620152014
XLB
Materials Select Sector SPDR ETF
1.95%1.92%2.00%2.26%1.62%1.72%1.98%2.20%1.66%1.95%2.24%1.97%
JNK
SPDR Barclays High Yield Bond ETF
6.68%6.63%6.38%6.06%4.27%5.11%5.44%5.90%5.60%6.06%6.59%5.99%

Drawdowns

XLB vs. JNK - Drawdown Comparison

The maximum XLB drawdown since its inception was -59.83%, which is greater than JNK's maximum drawdown of -38.48%. Use the drawdown chart below to compare losses from any high point for XLB and JNK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.99%
-0.89%
XLB
JNK

Volatility

XLB vs. JNK - Volatility Comparison

Materials Select Sector SPDR ETF (XLB) has a higher volatility of 5.03% compared to SPDR Barclays High Yield Bond ETF (JNK) at 1.49%. This indicates that XLB's price experiences larger fluctuations and is considered to be riskier than JNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
5.03%
1.49%
XLB
JNK
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab