PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^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.

-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
6.99%
0.54%
^SIXU
DUK

Key characteristics

Sharpe Ratio

^SIXU:

2.08

DUK:

1.66

Sortino Ratio

^SIXU:

2.83

DUK:

2.36

Omega Ratio

^SIXU:

1.35

DUK:

1.28

Calmar Ratio

^SIXU:

1.46

DUK:

1.87

Martin Ratio

^SIXU:

9.09

DUK:

6.28

Ulcer Index

^SIXU:

3.57%

DUK:

4.38%

Daily Std Dev

^SIXU:

15.59%

DUK:

16.46%

Max Drawdown

^SIXU:

-36.56%

DUK:

-71.92%

Current Drawdown

^SIXU:

-3.39%

DUK:

-6.44%

Returns By Period

In the year-to-date period, ^SIXU achieves a 5.16% return, which is significantly higher than DUK's 3.88% return. Over the past 10 years, ^SIXU has underperformed DUK with an annualized return of 5.80%, while DUK has yielded a comparatively higher 7.93% annualized return.


^SIXU

YTD

5.16%

1M

1.01%

6M

6.99%

1Y

30.65%

5Y*

2.62%

10Y*

5.80%

DUK

YTD

3.88%

1M

2.43%

6M

0.54%

1Y

25.36%

5Y*

6.04%

10Y*

7.93%

*Annualized

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

^SIXU vs. DUK — Risk-Adjusted Performance Rank

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

^SIXU
The Risk-Adjusted Performance Rank of ^SIXU is 8282
Overall Rank
The Sharpe Ratio Rank of ^SIXU is 9191
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SIXU is 9191
Sortino Ratio Rank
The Omega Ratio Rank of ^SIXU is 8888
Omega Ratio Rank
The Calmar Ratio Rank of ^SIXU is 6161
Calmar Ratio Rank
The Martin Ratio Rank of ^SIXU is 7878
Martin Ratio Rank

DUK
The Risk-Adjusted Performance Rank of DUK is 8585
Overall Rank
The Sharpe Ratio Rank of DUK is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of DUK is 8484
Sortino Ratio Rank
The Omega Ratio Rank of DUK is 8080
Omega Ratio Rank
The Calmar Ratio Rank of DUK is 8888
Calmar Ratio Rank
The Martin Ratio Rank of DUK is 8484
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.

^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 2.08, compared to the broader market-0.500.000.501.001.502.002.502.081.66
The chart of Sortino ratio for ^SIXU, currently valued at 2.83, compared to the broader market0.001.002.003.002.832.36
The chart of Omega ratio for ^SIXU, currently valued at 1.35, compared to the broader market1.001.201.401.601.351.28
The chart of Calmar ratio for ^SIXU, currently valued at 1.46, compared to the broader market0.001.002.003.004.001.461.87
The chart of Martin ratio for ^SIXU, currently valued at 9.09, compared to the broader market0.005.0010.0015.0020.009.096.28
^SIXU
DUK

The current ^SIXU Sharpe Ratio is 2.08, which is comparable to the DUK Sharpe Ratio of 1.66. 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 Ratio1.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
2.08
1.66
^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%SeptemberOctoberNovemberDecember2025February
-3.39%
-6.44%
^SIXU
DUK

Volatility

^SIXU vs. DUK - Volatility Comparison

Utilities Select Sector Index (^SIXU) and Duke Energy Corporation (DUK) have volatilities of 5.18% and 5.27%, 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%3.00%4.00%5.00%6.00%7.00%SeptemberOctoberNovemberDecember2025February
5.18%
5.27%
^SIXU
DUK
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 © 2025 PortfoliosLab