PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^SIXE vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXE and SPY 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.


-0.50.00.51.00.6

Performance

^SIXE vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Energy Select Sector Index (^SIXE) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-6.65%
7.86%
^SIXE
SPY

Key characteristics

Sharpe Ratio

^SIXE:

-0.04

SPY:

2.03

Sortino Ratio

^SIXE:

0.06

SPY:

2.71

Omega Ratio

^SIXE:

1.01

SPY:

1.38

Calmar Ratio

^SIXE:

-0.04

SPY:

3.02

Martin Ratio

^SIXE:

-0.11

SPY:

13.49

Ulcer Index

^SIXE:

6.73%

SPY:

1.88%

Daily Std Dev

^SIXE:

17.69%

SPY:

12.48%

Max Drawdown

^SIXE:

-75.97%

SPY:

-55.19%

Current Drawdown

^SIXE:

-14.74%

SPY:

-3.54%

Returns By Period

In the year-to-date period, ^SIXE achieves a -0.32% return, which is significantly lower than SPY's 24.51% return. Over the past 10 years, ^SIXE has underperformed SPY with an annualized return of 0.95%, while SPY has yielded a comparatively higher 12.94% annualized return.


^SIXE

YTD

-0.32%

1M

-11.89%

6M

-6.65%

1Y

-1.02%

5Y*

7.33%

10Y*

0.95%

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^SIXE vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Energy Select Sector Index (^SIXE) and SPDR S&P 500 ETF (SPY). 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 ^SIXE, currently valued at -0.04, compared to the broader market-1.000.001.002.00-0.042.03
The chart of Sortino ratio for ^SIXE, currently valued at 0.06, compared to the broader market-1.000.001.002.003.000.062.71
The chart of Omega ratio for ^SIXE, currently valued at 1.01, compared to the broader market0.800.901.001.101.201.301.401.011.38
The chart of Calmar ratio for ^SIXE, currently valued at -0.04, compared to the broader market0.001.002.003.004.00-0.043.02
The chart of Martin ratio for ^SIXE, currently valued at -0.11, compared to the broader market0.005.0010.0015.00-0.1113.49
^SIXE
SPY

The current ^SIXE Sharpe Ratio is -0.04, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of ^SIXE and SPY, 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
-0.04
2.03
^SIXE
SPY

Drawdowns

^SIXE vs. SPY - Drawdown Comparison

The maximum ^SIXE drawdown since its inception was -75.97%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^SIXE and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.74%
-3.54%
^SIXE
SPY

Volatility

^SIXE vs. SPY - Volatility Comparison

Energy Select Sector Index (^SIXE) has a higher volatility of 4.86% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that ^SIXE's price experiences larger fluctuations and is considered to be riskier than SPY 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.86%
3.64%
^SIXE
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab