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^SIXU vs. DUK
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXU and DUK is 0.86, 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.


-0.50.00.51.00.9

Performance

^SIXU vs. DUK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Utilities Select Sector Index (^SIXU) and Duke Energy Corporation (DUK). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.45%
10.51%
^SIXU
DUK

Key characteristics

Sharpe Ratio

^SIXU:

1.12

DUK:

1.08

Sortino Ratio

^SIXU:

1.59

DUK:

1.59

Omega Ratio

^SIXU:

1.20

DUK:

1.19

Calmar Ratio

^SIXU:

0.76

DUK:

1.19

Martin Ratio

^SIXU:

4.97

DUK:

4.65

Ulcer Index

^SIXU:

3.52%

DUK:

3.82%

Daily Std Dev

^SIXU:

15.58%

DUK:

16.42%

Max Drawdown

^SIXU:

-36.56%

DUK:

-71.92%

Current Drawdown

^SIXU:

-9.40%

DUK:

-9.48%

Returns By Period

In the year-to-date period, ^SIXU achieves a 17.93% return, which is significantly higher than DUK's 16.14% return. Over the past 10 years, ^SIXU has underperformed DUK with an annualized return of 4.75%, while DUK has yielded a comparatively higher 7.01% annualized return.


^SIXU

YTD

17.93%

1M

-6.80%

6M

8.45%

1Y

19.68%

5Y*

2.99%

10Y*

4.75%

DUK

YTD

16.14%

1M

-4.80%

6M

10.51%

1Y

16.96%

5Y*

7.94%

10Y*

7.01%

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Risk-Adjusted Performance

^SIXU vs. DUK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Utilities Select Sector Index (^SIXU) and Duke Energy Corporation (DUK). 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 ^SIXU, currently valued at 1.28, compared to the broader market0.001.002.001.281.08
The chart of Sortino ratio for ^SIXU, currently valued at 1.80, compared to the broader market-1.000.001.002.003.001.801.59
The chart of Omega ratio for ^SIXU, currently valued at 1.22, compared to the broader market0.901.001.101.201.301.401.221.19
The chart of Calmar ratio for ^SIXU, currently valued at 0.86, compared to the broader market0.001.002.003.000.861.19
The chart of Martin ratio for ^SIXU, currently valued at 5.56, compared to the broader market0.005.0010.0015.0020.005.564.65
^SIXU
DUK

The current ^SIXU Sharpe Ratio is 1.12, which is comparable to the DUK Sharpe Ratio of 1.08. The chart below compares the historical Sharpe Ratios of ^SIXU and DUK, 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 Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.28
1.08
^SIXU
DUK

Drawdowns

^SIXU vs. DUK - Drawdown Comparison

The maximum ^SIXU drawdown since its inception was -36.56%, smaller than the maximum DUK drawdown of -71.92%. Use the drawdown chart below to compare losses from any high point for ^SIXU and DUK. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.40%
-9.48%
^SIXU
DUK

Volatility

^SIXU vs. DUK - Volatility Comparison

The current volatility for Utilities Select Sector Index (^SIXU) is 4.57%, while Duke Energy Corporation (DUK) has a volatility of 4.83%. This indicates that ^SIXU experiences smaller price fluctuations and is considered to be less risky than DUK 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
4.57%
4.83%
^SIXU
DUK
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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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