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XLP vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XLP and ^GSPC is 0.65, 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.


-0.50.00.51.00.6

Performance

XLP vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Staples Select Sector SPDR Fund (XLP) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
451.05%
387.90%
XLP
^GSPC

Key characteristics

Sharpe Ratio

XLP:

1.47

^GSPC:

1.90

Sortino Ratio

XLP:

2.12

^GSPC:

2.54

Omega Ratio

XLP:

1.25

^GSPC:

1.35

Calmar Ratio

XLP:

1.68

^GSPC:

2.81

Martin Ratio

XLP:

8.11

^GSPC:

12.39

Ulcer Index

XLP:

1.80%

^GSPC:

1.93%

Daily Std Dev

XLP:

9.92%

^GSPC:

12.58%

Max Drawdown

XLP:

-35.89%

^GSPC:

-56.78%

Current Drawdown

XLP:

-4.28%

^GSPC:

-3.58%

Returns By Period

In the year-to-date period, XLP achieves a 13.65% return, which is significantly lower than ^GSPC's 23.11% return. Over the past 10 years, XLP has underperformed ^GSPC with an annualized return of 7.91%, while ^GSPC has yielded a comparatively higher 11.01% annualized return.


XLP

YTD

13.65%

1M

-0.36%

6M

4.48%

1Y

14.37%

5Y*

7.59%

10Y*

7.91%

^GSPC

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

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Risk-Adjusted Performance

XLP vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Staples Select Sector SPDR Fund (XLP) and S&P 500 (^GSPC). 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 XLP, currently valued at 1.47, compared to the broader market0.002.004.001.471.90
The chart of Sortino ratio for XLP, currently valued at 2.12, compared to the broader market-2.000.002.004.006.008.0010.002.122.54
The chart of Omega ratio for XLP, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.35
The chart of Calmar ratio for XLP, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.682.81
The chart of Martin ratio for XLP, currently valued at 8.11, compared to the broader market0.0020.0040.0060.0080.00100.008.1112.39
XLP
^GSPC

The current XLP Sharpe Ratio is 1.47, which is comparable to the ^GSPC Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of XLP and ^GSPC, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.47
1.90
XLP
^GSPC

Drawdowns

XLP vs. ^GSPC - Drawdown Comparison

The maximum XLP drawdown since its inception was -35.89%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XLP and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.28%
-3.58%
XLP
^GSPC

Volatility

XLP vs. ^GSPC - Volatility Comparison

The current volatility for Consumer Staples Select Sector SPDR Fund (XLP) is 2.80%, while S&P 500 (^GSPC) has a volatility of 3.64%. This indicates that XLP experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.80%
3.64%
XLP
^GSPC
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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.

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