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

Correlation

The correlation between ^SIXR and XLP is 0.99, 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.


-0.50.00.51.01.0

Performance

^SIXR vs. XLP - Performance Comparison

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

200.00%250.00%300.00%350.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
230.17%
405.36%
^SIXR
XLP

Key characteristics

Sharpe Ratio

^SIXR:

1.10

XLP:

1.66

Sortino Ratio

^SIXR:

1.61

XLP:

2.42

Omega Ratio

^SIXR:

1.19

XLP:

1.28

Calmar Ratio

^SIXR:

0.86

XLP:

2.02

Martin Ratio

^SIXR:

5.58

XLP:

8.80

Ulcer Index

^SIXR:

1.93%

XLP:

1.84%

Daily Std Dev

^SIXR:

9.84%

XLP:

9.75%

Max Drawdown

^SIXR:

-24.93%

XLP:

-35.89%

Current Drawdown

^SIXR:

-5.42%

XLP:

-4.62%

Returns By Period

In the year-to-date period, ^SIXR achieves a 10.34% return, which is significantly lower than XLP's 13.24% return. Over the past 10 years, ^SIXR has underperformed XLP with an annualized return of 4.94%, while XLP has yielded a comparatively higher 7.70% annualized return.


^SIXR

YTD

10.34%

1M

-0.84%

6M

2.80%

1Y

12.32%

5Y*

4.77%

10Y*

4.94%

XLP

YTD

13.24%

1M

-1.42%

6M

4.25%

1Y

14.53%

5Y*

7.60%

10Y*

7.70%

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Risk-Adjusted Performance

^SIXR vs. XLP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Staples Select Sector Index (^SIXR) 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 ^SIXR, currently valued at 1.36, compared to the broader market0.001.002.001.361.66
The chart of Sortino ratio for ^SIXR, currently valued at 2.01, compared to the broader market-1.000.001.002.003.002.012.42
The chart of Omega ratio for ^SIXR, currently valued at 1.23, compared to the broader market0.901.001.101.201.301.401.231.28
The chart of Calmar ratio for ^SIXR, currently valued at 1.09, compared to the broader market0.001.002.003.001.092.02
The chart of Martin ratio for ^SIXR, currently valued at 6.67, compared to the broader market0.005.0010.0015.0020.006.678.80
^SIXR
XLP

The current ^SIXR Sharpe Ratio is 1.10, which is lower than the XLP Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of ^SIXR 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.36
1.66
^SIXR
XLP

Drawdowns

^SIXR vs. XLP - Drawdown Comparison

The maximum ^SIXR drawdown since its inception was -24.93%, smaller than the maximum XLP drawdown of -35.89%. Use the drawdown chart below to compare losses from any high point for ^SIXR and XLP. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.42%
-4.62%
^SIXR
XLP

Volatility

^SIXR vs. XLP - Volatility Comparison

Consumer Staples Select Sector Index (^SIXR) and Consumer Staples Select Sector SPDR Fund (XLP) have volatilities of 2.78% and 2.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%JulyAugustSeptemberOctoberNovemberDecember
2.78%
2.86%
^SIXR
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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