XLY vs. ^GSPC
Compare and contrast key facts about Consumer Discretionary Select Sector SPDR Fund (XLY) and S&P 500 (^GSPC).
XLY is a passively managed fund by State Street that tracks the performance of the Consumer Discretionary Select Sector Index. It was launched on Dec 16, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XLY or ^GSPC.
Performance
XLY vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, XLY achieves a 20.13% return, which is significantly lower than ^GSPC's 23.08% return. Over the past 10 years, XLY has outperformed ^GSPC with an annualized return of 13.23%, while ^GSPC has yielded a comparatively lower 11.11% annualized return.
XLY
20.13%
7.30%
19.94%
29.61%
12.97%
13.23%
^GSPC
23.08%
0.10%
10.70%
30.05%
13.52%
11.11%
Key characteristics
| XLY | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.60 | 2.48 |
| Sortino Ratio | 2.20 | 3.33 |
| Omega Ratio | 1.27 | 1.46 |
| Calmar Ratio | 1.41 | 3.58 |
| Martin Ratio | 7.65 | 15.96 |
| Ulcer Index | 3.70% | 1.90% |
| Daily Std Dev | 17.73% | 12.24% |
| Max Drawdown | -59.05% | -56.78% |
| Current Drawdown | -2.74% | -2.18% |
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Correlation
The correlation between XLY and ^GSPC is 0.84, 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.
Risk-Adjusted Performance
XLY vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector SPDR Fund (XLY) 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.
Drawdowns
XLY vs. ^GSPC - Drawdown Comparison
The maximum XLY drawdown since its inception was -59.05%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XLY and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XLY vs. ^GSPC - Volatility Comparison
Consumer Discretionary Select Sector SPDR Fund (XLY) has a higher volatility of 6.65% compared to S&P 500 (^GSPC) at 4.06%. This indicates that XLY's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.