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

Key characteristics


XLIFIDU
YTD Return20.02%18.90%
1Y Return34.39%33.97%
3Y Return (Ann)12.15%12.13%
5Y Return (Ann)14.37%15.02%
10Y Return (Ann)12.51%12.69%
Sharpe Ratio2.762.50
Sortino Ratio3.743.37
Omega Ratio1.481.42
Calmar Ratio2.902.77
Martin Ratio17.2114.58
Ulcer Index2.12%2.46%
Daily Std Dev13.23%14.40%
Max Drawdown-62.26%-42.31%
Current Drawdown-0.02%-0.06%

Correlation

-0.50.00.51.01.0

The correlation between XLI and FIDU is 0.99, 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

XLI vs. FIDU - Performance Comparison

In the year-to-date period, XLI achieves a 20.02% return, which is significantly higher than FIDU's 18.90% return. Both investments have delivered pretty close results over the past 10 years, with XLI having a 12.51% annualized return and FIDU not far ahead at 12.69%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%210.00%220.00%230.00%240.00%MayJuneJulyAugustSeptemberOctober
242.46%
238.06%
XLI
FIDU

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XLI vs. FIDU - Expense Ratio Comparison

XLI has a 0.13% expense ratio, which is higher than FIDU's 0.08% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


XLI
Industrial Select Sector SPDR Fund
Expense ratio chart for XLI: 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%
Expense ratio chart for FIDU: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

XLI vs. FIDU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Industrial Select Sector SPDR Fund (XLI) and Fidelity MSCI Industrials Index ETF (FIDU). 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 market-2.000.002.004.006.008.0010.0012.003.74
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
FIDU
Sharpe ratio
The chart of Sharpe ratio for FIDU, currently valued at 2.50, compared to the broader market0.002.004.002.50
Sortino ratio
The chart of Sortino ratio for FIDU, currently valued at 3.37, compared to the broader market-2.000.002.004.006.008.0010.0012.003.37
Omega ratio
The chart of Omega ratio for FIDU, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for FIDU, currently valued at 2.77, compared to the broader market0.005.0010.0015.002.77
Martin ratio
The chart of Martin ratio for FIDU, currently valued at 14.58, compared to the broader market0.0020.0040.0060.0080.00100.0014.58

XLI vs. FIDU - Sharpe Ratio Comparison

The current XLI Sharpe Ratio is 2.76, which roughly equals the FIDU Sharpe Ratio of 2.50. The chart below compares the historical Sharpe Ratios of XLI and FIDU, 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.76
2.50
XLI
FIDU

Dividends

XLI vs. FIDU - Dividend Comparison

XLI's dividend yield for the trailing twelve months is around 1.36%, more than FIDU's 1.24% 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%
FIDU
Fidelity MSCI Industrials Index ETF
1.24%1.42%1.48%1.12%1.28%1.73%1.99%1.60%1.63%1.98%1.55%0.31%

Drawdowns

XLI vs. FIDU - Drawdown Comparison

The maximum XLI drawdown since its inception was -62.26%, which is greater than FIDU's maximum drawdown of -42.31%. Use the drawdown chart below to compare losses from any high point for XLI and FIDU. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.02%
-0.06%
XLI
FIDU

Volatility

XLI vs. FIDU - Volatility Comparison

The current volatility for Industrial Select Sector SPDR Fund (XLI) is 2.59%, while Fidelity MSCI Industrials Index ETF (FIDU) has a volatility of 2.84%. This indicates that XLI experiences smaller price fluctuations and is considered to be less risky than FIDU 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%MayJuneJulyAugustSeptemberOctober
2.59%
2.84%
XLI
FIDU