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SPY vs. ^XCI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between SPY and ^XCI is 0.79, 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.


-0.50.00.51.00.8

Performance

SPY vs. ^XCI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 500 ETF (SPY) and ARCA Computer Technology Index (^XCI). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
10.76%
10.13%
SPY
^XCI

Key characteristics

Sharpe Ratio

SPY:

2.29

^XCI:

2.15

Sortino Ratio

SPY:

3.04

^XCI:

2.75

Omega Ratio

SPY:

1.43

^XCI:

1.37

Calmar Ratio

SPY:

3.40

^XCI:

2.89

Martin Ratio

SPY:

15.01

^XCI:

9.72

Ulcer Index

SPY:

1.90%

^XCI:

4.91%

Daily Std Dev

SPY:

12.46%

^XCI:

22.26%

Max Drawdown

SPY:

-55.19%

^XCI:

-77.19%

Current Drawdown

SPY:

-0.74%

^XCI:

0.00%

Returns By Period

In the year-to-date period, SPY achieves a 28.13% return, which is significantly lower than ^XCI's 47.45% return. Over the past 10 years, SPY has underperformed ^XCI with an annualized return of 13.16%, while ^XCI has yielded a comparatively higher 22.68% annualized return.


SPY

YTD

28.13%

1M

1.31%

6M

11.08%

1Y

28.58%

5Y*

15.00%

10Y*

13.16%

^XCI

YTD

47.45%

1M

6.64%

6M

10.57%

1Y

47.76%

5Y*

27.62%

10Y*

22.68%

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Risk-Adjusted Performance

SPY vs. ^XCI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 ETF (SPY) and ARCA Computer Technology Index (^XCI). 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 SPY, currently valued at 2.29, compared to the broader market0.002.004.002.292.15
The chart of Sortino ratio for SPY, currently valued at 3.04, compared to the broader market-2.000.002.004.006.008.0010.003.042.75
The chart of Omega ratio for SPY, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.37
The chart of Calmar ratio for SPY, currently valued at 3.40, compared to the broader market0.005.0010.0015.003.402.89
The chart of Martin ratio for SPY, currently valued at 15.01, compared to the broader market0.0020.0040.0060.0080.00100.0015.019.72
SPY
^XCI

The current SPY Sharpe Ratio is 2.29, which is comparable to the ^XCI Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of SPY and ^XCI, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.29
2.15
SPY
^XCI

Drawdowns

SPY vs. ^XCI - Drawdown Comparison

The maximum SPY drawdown since its inception was -55.19%, smaller than the maximum ^XCI drawdown of -77.19%. Use the drawdown chart below to compare losses from any high point for SPY and ^XCI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.74%
0
SPY
^XCI

Volatility

SPY vs. ^XCI - Volatility Comparison

The current volatility for SPDR S&P 500 ETF (SPY) is 3.97%, while ARCA Computer Technology Index (^XCI) has a volatility of 5.14%. This indicates that SPY experiences smaller price fluctuations and is considered to be less risky than ^XCI 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
3.97%
5.14%
SPY
^XCI
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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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