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^XOI vs. BKR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^XOI and BKR is 0.70, 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.


-0.50.00.51.00.7

Performance

^XOI vs. BKR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Amex Oil Index (^XOI) and Baker Hughes Company (BKR). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
53.53%
34.13%
^XOI
BKR

Key characteristics

Sharpe Ratio

^XOI:

-0.48

BKR:

0.79

Sortino Ratio

^XOI:

-0.52

BKR:

1.35

Omega Ratio

^XOI:

0.94

BKR:

1.16

Calmar Ratio

^XOI:

-0.36

BKR:

0.93

Martin Ratio

^XOI:

-0.83

BKR:

2.73

Ulcer Index

^XOI:

11.05%

BKR:

7.90%

Daily Std Dev

^XOI:

19.23%

BKR:

27.39%

Max Drawdown

^XOI:

-72.79%

BKR:

-73.51%

Current Drawdown

^XOI:

-24.67%

BKR:

-10.16%

Returns By Period

In the year-to-date period, ^XOI achieves a -8.57% return, which is significantly lower than BKR's 21.01% return.


^XOI

YTD

-8.57%

1M

-13.10%

6M

-14.55%

1Y

-9.47%

5Y*

6.28%

10Y*

2.14%

BKR

YTD

21.01%

1M

-9.00%

6M

23.88%

1Y

21.51%

5Y*

13.30%

10Y*

N/A

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Risk-Adjusted Performance

^XOI vs. BKR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amex Oil Index (^XOI) and Baker Hughes Company (BKR). 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 ^XOI, currently valued at -0.48, compared to the broader market0.001.002.00-0.480.79
The chart of Sortino ratio for ^XOI, currently valued at -0.52, compared to the broader market-1.000.001.002.003.00-0.521.35
The chart of Omega ratio for ^XOI, currently valued at 0.94, compared to the broader market0.901.001.101.201.301.400.941.16
The chart of Calmar ratio for ^XOI, currently valued at -0.36, compared to the broader market0.001.002.003.00-0.360.93
The chart of Martin ratio for ^XOI, currently valued at -0.83, compared to the broader market0.005.0010.0015.0020.00-0.832.73
^XOI
BKR

The current ^XOI Sharpe Ratio is -0.48, which is lower than the BKR Sharpe Ratio of 0.79. The chart below compares the historical Sharpe Ratios of ^XOI and BKR, 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 Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.48
0.79
^XOI
BKR

Drawdowns

^XOI vs. BKR - Drawdown Comparison

The maximum ^XOI drawdown since its inception was -72.79%, roughly equal to the maximum BKR drawdown of -73.51%. Use the drawdown chart below to compare losses from any high point for ^XOI and BKR. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-24.67%
-10.16%
^XOI
BKR

Volatility

^XOI vs. BKR - Volatility Comparison

The current volatility for Amex Oil Index (^XOI) is 5.35%, while Baker Hughes Company (BKR) has a volatility of 6.66%. This indicates that ^XOI experiences smaller price fluctuations and is considered to be less risky than BKR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
5.35%
6.66%
^XOI
BKR
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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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