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XLV vs. XLF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XLVXLF
YTD Return10.04%26.21%
1Y Return21.74%48.98%
3Y Return (Ann)5.16%7.23%
5Y Return (Ann)11.31%12.58%
10Y Return (Ann)10.02%13.86%
Sharpe Ratio2.114.10
Sortino Ratio2.895.34
Omega Ratio1.391.71
Calmar Ratio2.012.58
Martin Ratio10.5127.13
Ulcer Index2.13%1.90%
Daily Std Dev10.63%12.61%
Max Drawdown-39.18%-82.43%
Current Drawdown-5.27%-1.47%

Correlation

-0.50.00.51.00.6

The correlation between XLV and XLF is 0.61, 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

XLV vs. XLF - Performance Comparison

In the year-to-date period, XLV achieves a 10.04% return, which is significantly lower than XLF's 26.21% return. Over the past 10 years, XLV has underperformed XLF with an annualized return of 10.02%, while XLF has yielded a comparatively higher 13.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
6.56%
17.14%
XLV
XLF

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XLV vs. XLF - Expense Ratio Comparison

XLV has a 0.12% expense ratio, which is lower than XLF's 0.13% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


XLF
Financial Select Sector SPDR Fund
Expense ratio chart for XLF: 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 XLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

XLV vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Health Care Select Sector SPDR Fund (XLV) and Financial Select Sector SPDR Fund (XLF). 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.


XLV
Sharpe ratio
The chart of Sharpe ratio for XLV, currently valued at 2.11, compared to the broader market-2.000.002.004.006.002.11
Sortino ratio
The chart of Sortino ratio for XLV, currently valued at 2.89, compared to the broader market0.005.0010.002.89
Omega ratio
The chart of Omega ratio for XLV, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for XLV, currently valued at 2.01, compared to the broader market0.005.0010.0015.002.01
Martin ratio
The chart of Martin ratio for XLV, currently valued at 10.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.51
XLF
Sharpe ratio
The chart of Sharpe ratio for XLF, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Sortino ratio
The chart of Sortino ratio for XLF, currently valued at 5.34, compared to the broader market0.005.0010.005.34
Omega ratio
The chart of Omega ratio for XLF, currently valued at 1.71, compared to the broader market1.001.502.002.503.001.71
Calmar ratio
The chart of Calmar ratio for XLF, currently valued at 2.58, compared to the broader market0.005.0010.0015.002.58
Martin ratio
The chart of Martin ratio for XLF, currently valued at 27.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.0027.13

XLV vs. XLF - Sharpe Ratio Comparison

The current XLV Sharpe Ratio is 2.11, which is lower than the XLF Sharpe Ratio of 4.10. The chart below compares the historical Sharpe Ratios of XLV and XLF, 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 Ratio1.002.003.004.00MayJuneJulyAugustSeptemberOctober
2.11
4.10
XLV
XLF

Dividends

XLV vs. XLF - Dividend Comparison

XLV's dividend yield for the trailing twelve months is around 1.53%, more than XLF's 1.42% yield.


TTM20232022202120202019201820172016201520142013
XLV
Health Care Select Sector SPDR Fund
1.53%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%
XLF
Financial Select Sector SPDR Fund
1.42%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%

Drawdowns

XLV vs. XLF - Drawdown Comparison

The maximum XLV drawdown since its inception was -39.18%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for XLV and XLF. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%MayJuneJulyAugustSeptemberOctober
-5.27%
-1.47%
XLV
XLF

Volatility

XLV vs. XLF - Volatility Comparison

The current volatility for Health Care Select Sector SPDR Fund (XLV) is 2.83%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 3.98%. This indicates that XLV experiences smaller price fluctuations and is considered to be less risky than XLF 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%MayJuneJulyAugustSeptemberOctober
2.83%
3.98%
XLV
XLF