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XLP vs. WMT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XLP and WMT is 0.49, 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

XLP vs. WMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Staples Select Sector SPDR Fund (XLP) and Walmart Inc. (WMT). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

XLP:

0.67

WMT:

2.10

Sortino Ratio

XLP:

0.84

WMT:

2.80

Omega Ratio

XLP:

1.10

WMT:

1.38

Calmar Ratio

XLP:

0.86

WMT:

2.25

Martin Ratio

XLP:

2.26

WMT:

7.35

Ulcer Index

XLP:

3.16%

WMT:

6.72%

Daily Std Dev

XLP:

13.41%

WMT:

24.02%

Max Drawdown

XLP:

-35.89%

WMT:

-77.24%

Current Drawdown

XLP:

-1.88%

WMT:

-7.82%

Returns By Period

In the year-to-date period, XLP achieves a 4.35% return, which is significantly lower than WMT's 7.18% return. Over the past 10 years, XLP has underperformed WMT with an annualized return of 8.09%, while WMT has yielded a comparatively higher 16.69% annualized return.


XLP

YTD

4.35%

1M

0.94%

6M

0.44%

1Y

8.59%

3Y*

6.43%

5Y*

10.13%

10Y*

8.09%

WMT

YTD

7.18%

1M

1.56%

6M

8.44%

1Y

48.87%

3Y*

34.33%

5Y*

20.08%

10Y*

16.69%

*Annualized

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Walmart Inc.

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Risk-Adjusted Performance

XLP vs. WMT — Risk-Adjusted Performance Rank

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

XLP
The Risk-Adjusted Performance Rank of XLP is 6464
Overall Rank
The Sharpe Ratio Rank of XLP is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of XLP is 5757
Sortino Ratio Rank
The Omega Ratio Rank of XLP is 5252
Omega Ratio Rank
The Calmar Ratio Rank of XLP is 7979
Calmar Ratio Rank
The Martin Ratio Rank of XLP is 6565
Martin Ratio Rank

WMT
The Risk-Adjusted Performance Rank of WMT is 9393
Overall Rank
The Sharpe Ratio Rank of WMT is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of WMT is 9393
Sortino Ratio Rank
The Omega Ratio Rank of WMT is 9393
Omega Ratio Rank
The Calmar Ratio Rank of WMT is 9494
Calmar Ratio Rank
The Martin Ratio Rank of WMT is 9191
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.

XLP vs. WMT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Staples Select Sector SPDR Fund (XLP) and Walmart Inc. (WMT). 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.


The current XLP Sharpe Ratio is 0.67, which is lower than the WMT Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of XLP and WMT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

XLP vs. WMT - Dividend Comparison

XLP's dividend yield for the trailing twelve months is around 2.50%, more than WMT's 0.92% yield.


TTM20242023202220212020201920182017201620152014
XLP
Consumer Staples Select Sector SPDR Fund
2.50%2.77%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.53%2.40%
WMT
Walmart Inc.
0.92%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%

Drawdowns

XLP vs. WMT - Drawdown Comparison

The maximum XLP drawdown since its inception was -35.89%, smaller than the maximum WMT drawdown of -77.24%. Use the drawdown chart below to compare losses from any high point for XLP and WMT.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

XLP vs. WMT - Volatility Comparison

The current volatility for Consumer Staples Select Sector SPDR Fund (XLP) is 3.59%, while Walmart Inc. (WMT) has a volatility of 4.16%. This indicates that XLP experiences smaller price fluctuations and is considered to be less risky than WMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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