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XTL vs. XLK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XTLXLK
YTD Return29.19%21.85%
1Y Return59.78%44.34%
3Y Return (Ann)3.15%14.06%
5Y Return (Ann)9.77%24.01%
10Y Return (Ann)7.38%20.72%
Sharpe Ratio2.762.15
Sortino Ratio3.622.73
Omega Ratio1.461.38
Calmar Ratio1.672.70
Martin Ratio10.159.46
Ulcer Index6.02%4.85%
Daily Std Dev22.15%21.39%
Max Drawdown-37.01%-82.05%
Current Drawdown-1.69%-1.66%

Correlation

-0.50.00.51.00.6

The correlation between XTL and XLK is 0.64, 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

XTL vs. XLK - Performance Comparison

In the year-to-date period, XTL achieves a 29.19% return, which is significantly higher than XLK's 21.85% return. Over the past 10 years, XTL has underperformed XLK with an annualized return of 7.38%, while XLK has yielded a comparatively higher 20.72% 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%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctober
49.88%
20.53%
XTL
XLK

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XTL vs. XLK - Expense Ratio Comparison

XTL has a 0.35% expense ratio, which is higher than XLK's 0.13% expense ratio.


XTL
SPDR S&P Telecom ETF
Expense ratio chart for XTL: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for XLK: 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%

Risk-Adjusted Performance

XTL vs. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Telecom ETF (XTL) and Technology Select Sector SPDR Fund (XLK). 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.


XTL
Sharpe ratio
The chart of Sharpe ratio for XTL, currently valued at 2.76, compared to the broader market-2.000.002.004.006.002.76
Sortino ratio
The chart of Sortino ratio for XTL, currently valued at 3.62, compared to the broader market0.005.0010.003.62
Omega ratio
The chart of Omega ratio for XTL, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for XTL, currently valued at 1.67, compared to the broader market0.005.0010.0015.001.67
Martin ratio
The chart of Martin ratio for XTL, currently valued at 10.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.15
XLK
Sharpe ratio
The chart of Sharpe ratio for XLK, currently valued at 2.15, compared to the broader market-2.000.002.004.006.002.15
Sortino ratio
The chart of Sortino ratio for XLK, currently valued at 2.73, compared to the broader market0.005.0010.002.73
Omega ratio
The chart of Omega ratio for XLK, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for XLK, currently valued at 2.70, compared to the broader market0.005.0010.0015.002.70
Martin ratio
The chart of Martin ratio for XLK, currently valued at 9.46, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.46

XTL vs. XLK - Sharpe Ratio Comparison

The current XTL Sharpe Ratio is 2.76, which is comparable to the XLK Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of XTL and XLK, 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 Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctober
2.76
2.15
XTL
XLK

Dividends

XTL vs. XLK - Dividend Comparison

XTL's dividend yield for the trailing twelve months is around 0.60%, less than XLK's 0.67% yield.


TTM20232022202120202019201820172016201520142013
XTL
SPDR S&P Telecom ETF
0.60%0.80%0.74%1.25%0.88%0.92%1.90%2.08%1.11%1.38%1.03%0.45%
XLK
Technology Select Sector SPDR Fund
0.67%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

XTL vs. XLK - Drawdown Comparison

The maximum XTL drawdown since its inception was -37.01%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for XTL and XLK. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctober
-1.69%
-1.66%
XTL
XLK

Volatility

XTL vs. XLK - Volatility Comparison

The current volatility for SPDR S&P Telecom ETF (XTL) is 4.14%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 5.03%. This indicates that XTL experiences smaller price fluctuations and is considered to be less risky than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctober
4.14%
5.03%
XTL
XLK