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

Correlation

The correlation between ^SIXY and ^SIXR is 0.58, 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

^SIXY vs. ^SIXR - Performance Comparison

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

200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
927.02%
230.17%
^SIXY
^SIXR

Key characteristics

Sharpe Ratio

^SIXY:

1.57

^SIXR:

1.10

Sortino Ratio

^SIXY:

2.14

^SIXR:

1.61

Omega Ratio

^SIXY:

1.28

^SIXR:

1.19

Calmar Ratio

^SIXY:

1.47

^SIXR:

0.86

Martin Ratio

^SIXY:

7.75

^SIXR:

5.58

Ulcer Index

^SIXY:

3.73%

^SIXR:

1.93%

Daily Std Dev

^SIXY:

18.28%

^SIXR:

9.84%

Max Drawdown

^SIXY:

-40.25%

^SIXR:

-24.93%

Current Drawdown

^SIXY:

-4.45%

^SIXR:

-5.42%

Returns By Period

In the year-to-date period, ^SIXY achieves a 27.77% return, which is significantly higher than ^SIXR's 10.34% return. Over the past 10 years, ^SIXY has outperformed ^SIXR with an annualized return of 12.29%, while ^SIXR has yielded a comparatively lower 4.94% annualized return.


^SIXY

YTD

27.77%

1M

6.50%

6M

25.35%

1Y

26.38%

5Y*

12.86%

10Y*

12.29%

^SIXR

YTD

10.34%

1M

-0.84%

6M

2.80%

1Y

12.32%

5Y*

4.77%

10Y*

4.94%

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

^SIXY vs. ^SIXR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector Index (^SIXY) and Consumer Staples Select Sector Index (^SIXR). 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 ^SIXY, currently valued at 1.57, compared to the broader market0.001.002.001.570.96
The chart of Sortino ratio for ^SIXY, currently valued at 2.14, compared to the broader market-1.000.001.002.003.002.141.44
The chart of Omega ratio for ^SIXY, currently valued at 1.28, compared to the broader market0.901.001.101.201.301.401.281.17
The chart of Calmar ratio for ^SIXY, currently valued at 1.47, compared to the broader market0.001.002.003.001.470.82
The chart of Martin ratio for ^SIXY, currently valued at 7.75, compared to the broader market0.005.0010.0015.0020.007.754.62
^SIXY
^SIXR

The current ^SIXY Sharpe Ratio is 1.57, which is higher than the ^SIXR Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of ^SIXY and ^SIXR, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.57
0.96
^SIXY
^SIXR

Drawdowns

^SIXY vs. ^SIXR - Drawdown Comparison

The maximum ^SIXY drawdown since its inception was -40.25%, which is greater than ^SIXR's maximum drawdown of -24.93%. Use the drawdown chart below to compare losses from any high point for ^SIXY and ^SIXR. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.45%
-5.42%
^SIXY
^SIXR

Volatility

^SIXY vs. ^SIXR - Volatility Comparison

Consumer Discretionary Select Sector Index (^SIXY) has a higher volatility of 6.24% compared to Consumer Staples Select Sector Index (^SIXR) at 2.78%. This indicates that ^SIXY's price experiences larger fluctuations and is considered to be riskier than ^SIXR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.24%
2.78%
^SIXY
^SIXR
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