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XLI vs. DE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XLIDE
YTD Return20.02%1.22%
1Y Return34.39%6.09%
3Y Return (Ann)12.15%6.70%
5Y Return (Ann)14.37%20.72%
10Y Return (Ann)12.51%19.56%
Sharpe Ratio2.760.32
Sortino Ratio3.740.61
Omega Ratio1.481.08
Calmar Ratio2.900.34
Martin Ratio17.211.06
Ulcer Index2.12%6.93%
Daily Std Dev13.23%22.68%
Max Drawdown-62.26%-73.27%
Current Drawdown-0.02%-8.66%

Correlation

-0.50.00.51.00.6

The correlation between XLI and DE is 0.64, 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

XLI vs. DE - Performance Comparison

In the year-to-date period, XLI achieves a 20.02% return, which is significantly higher than DE's 1.22% return. Over the past 10 years, XLI has underperformed DE with an annualized return of 12.51%, while DE has yielded a comparatively higher 19.56% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


1,000.00%2,000.00%3,000.00%4,000.00%MayJuneJulyAugustSeptemberOctober
824.99%
4,287.26%
XLI
DE

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Risk-Adjusted Performance

XLI vs. DE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Industrial Select Sector SPDR Fund (XLI) and Deere & Company (DE). 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.


XLI
Sharpe ratio
The chart of Sharpe ratio for XLI, currently valued at 2.76, compared to the broader market0.002.004.002.76
Sortino ratio
The chart of Sortino ratio for XLI, currently valued at 3.74, compared to the broader market0.005.0010.003.74
Omega ratio
The chart of Omega ratio for XLI, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for XLI, currently valued at 2.90, compared to the broader market0.005.0010.0015.002.90
Martin ratio
The chart of Martin ratio for XLI, currently valued at 17.21, compared to the broader market0.0020.0040.0060.0080.00100.0017.21
DE
Sharpe ratio
The chart of Sharpe ratio for DE, currently valued at 0.32, compared to the broader market0.002.004.000.32
Sortino ratio
The chart of Sortino ratio for DE, currently valued at 0.61, compared to the broader market0.005.0010.000.61
Omega ratio
The chart of Omega ratio for DE, currently valued at 1.08, compared to the broader market1.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for DE, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.34
Martin ratio
The chart of Martin ratio for DE, currently valued at 1.06, compared to the broader market0.0020.0040.0060.0080.00100.001.06

XLI vs. DE - Sharpe Ratio Comparison

The current XLI Sharpe Ratio is 2.76, which is higher than the DE Sharpe Ratio of 0.32. The chart below compares the historical Sharpe Ratios of XLI and DE, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
2.76
0.32
XLI
DE

Dividends

XLI vs. DE - Dividend Comparison

XLI's dividend yield for the trailing twelve months is around 1.36%, less than DE's 1.47% yield.


TTM20232022202120202019201820172016201520142013
XLI
Industrial Select Sector SPDR Fund
1.36%1.63%1.63%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%
DE
Deere & Company
1.47%1.33%1.05%1.14%1.13%1.75%1.84%1.53%2.33%3.15%2.61%2.23%

Drawdowns

XLI vs. DE - Drawdown Comparison

The maximum XLI drawdown since its inception was -62.26%, smaller than the maximum DE drawdown of -73.27%. Use the drawdown chart below to compare losses from any high point for XLI and DE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.02%
-8.66%
XLI
DE

Volatility

XLI vs. DE - Volatility Comparison

The current volatility for Industrial Select Sector SPDR Fund (XLI) is 2.59%, while Deere & Company (DE) has a volatility of 4.76%. This indicates that XLI experiences smaller price fluctuations and is considered to be less risky than DE 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%MayJuneJulyAugustSeptemberOctober
2.59%
4.76%
XLI
DE