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^BSE500 vs. XLP
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^BSE500 and XLP is 0.13, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

^BSE500 vs. XLP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P BSE-500 (^BSE500) and Consumer Staples Select Sector SPDR Fund (XLP). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.63%
3.98%
^BSE500
XLP

Key characteristics

Sharpe Ratio

^BSE500:

1.02

XLP:

1.63

Sortino Ratio

^BSE500:

1.36

XLP:

2.38

Omega Ratio

^BSE500:

1.22

XLP:

1.28

Calmar Ratio

^BSE500:

1.37

XLP:

1.98

Martin Ratio

^BSE500:

4.38

XLP:

8.62

Ulcer Index

^BSE500:

3.46%

XLP:

1.84%

Daily Std Dev

^BSE500:

14.78%

XLP:

9.74%

Max Drawdown

^BSE500:

-38.39%

XLP:

-35.89%

Current Drawdown

^BSE500:

-9.05%

XLP:

-4.87%

Returns By Period

In the year-to-date period, ^BSE500 achieves a 14.34% return, which is significantly higher than XLP's 12.94% return. Over the past 10 years, ^BSE500 has outperformed XLP with an annualized return of 12.92%, while XLP has yielded a comparatively lower 7.73% annualized return.


^BSE500

YTD

14.34%

1M

1.37%

6M

0.04%

1Y

17.29%

5Y*

17.60%

10Y*

12.92%

XLP

YTD

12.94%

1M

-1.12%

6M

4.06%

1Y

15.90%

5Y*

7.45%

10Y*

7.73%

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Risk-Adjusted Performance

^BSE500 vs. XLP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P BSE-500 (^BSE500) and Consumer Staples Select Sector SPDR Fund (XLP). 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 ^BSE500, currently valued at 0.57, compared to the broader market0.001.002.000.571.23
The chart of Sortino ratio for ^BSE500, currently valued at 0.83, compared to the broader market-1.000.001.002.003.000.831.82
The chart of Omega ratio for ^BSE500, currently valued at 1.13, compared to the broader market0.901.001.101.201.301.401.131.22
The chart of Calmar ratio for ^BSE500, currently valued at 0.72, compared to the broader market0.001.002.003.000.721.72
The chart of Martin ratio for ^BSE500, currently valued at 2.18, compared to the broader market0.005.0010.0015.0020.002.186.36
^BSE500
XLP

The current ^BSE500 Sharpe Ratio is 1.02, which is lower than the XLP Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of ^BSE500 and XLP, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.57
1.23
^BSE500
XLP

Drawdowns

^BSE500 vs. XLP - Drawdown Comparison

The maximum ^BSE500 drawdown since its inception was -38.39%, which is greater than XLP's maximum drawdown of -35.89%. Use the drawdown chart below to compare losses from any high point for ^BSE500 and XLP. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.56%
-4.87%
^BSE500
XLP

Volatility

^BSE500 vs. XLP - Volatility Comparison

S&P BSE-500 (^BSE500) has a higher volatility of 4.58% compared to Consumer Staples Select Sector SPDR Fund (XLP) at 2.59%. This indicates that ^BSE500's price experiences larger fluctuations and is considered to be riskier than XLP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.58%
2.59%
^BSE500
XLP
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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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