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^SIXM vs. JPM
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXM and JPM is 0.75, 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.


Performance

^SIXM vs. JPM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Financial Select Sector Index (^SIXM) and JPMorgan Chase & Co. (JPM). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Daily Std Dev

^SIXM:

19.44%

JPM:

28.66%

Max Drawdown

^SIXM:

-3.41%

JPM:

-74.02%

Current Drawdown

^SIXM:

0.00%

JPM:

-9.04%

Returns By Period


^SIXM

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y*

N/A

10Y*

N/A

JPM

YTD

6.78%

1M

7.15%

6M

8.01%

1Y

30.28%

5Y*

27.41%

10Y*

17.62%

*Annualized

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Risk-Adjusted Performance

^SIXM vs. JPM — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SIXM
The Risk-Adjusted Performance Rank of ^SIXM is 9292
Overall Rank
The Sharpe Ratio Rank of ^SIXM is 9292
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SIXM is 8787
Sortino Ratio Rank
The Omega Ratio Rank of ^SIXM is 9191
Omega Ratio Rank
The Calmar Ratio Rank of ^SIXM is 9696
Calmar Ratio Rank
The Martin Ratio Rank of ^SIXM is 9393
Martin Ratio Rank

JPM
The Risk-Adjusted Performance Rank of JPM is 8585
Overall Rank
The Sharpe Ratio Rank of JPM is 8686
Sharpe Ratio Rank
The Sortino Ratio Rank of JPM is 8383
Sortino Ratio Rank
The Omega Ratio Rank of JPM is 8383
Omega Ratio Rank
The Calmar Ratio Rank of JPM is 8989
Calmar Ratio Rank
The Martin Ratio Rank of JPM is 8686
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^SIXM vs. JPM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Financial Select Sector Index (^SIXM) and JPMorgan Chase & Co. (JPM). 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.



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Drawdowns

^SIXM vs. JPM - Drawdown Comparison

The maximum ^SIXM drawdown since its inception was -3.41%, smaller than the maximum JPM drawdown of -74.02%. Use the drawdown chart below to compare losses from any high point for ^SIXM and JPM. For additional features, visit the drawdowns tool.


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Volatility

^SIXM vs. JPM - Volatility Comparison


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