Performance

AEM+6.18%XLB+14.52%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
AEM	+1.05%	+11.19%	+6.18%	+29.22%	-45.94%	0.28
XLB	+0.71%	+10.41%	+14.52%	+3.68%	-12.38%	0.61

Summary

AEM vs XLB

Over the past year, XLB returned +14.52% against +6.18% for AEM. Over five years, AEM averaged +29.22% a year, compared with +3.68% for XLB. XLB had the higher Sharpe ratio over the past year (0.61 vs 0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.38% for XLB and -45.94% for AEM.

Current Drawdown

AEM-24.85%XLB-5.12%

Rolling Volatility

AEM+2.63%XLB+0.92%

METRICS

Correlation Matrix

	AEM	XLB
AEM	1.00	0.57
XLB	0.57	1.00

Metrics

Risk Indicators

AEMXLB

Alpha

-1.67%

4.22%

Beta

1.61x

0.71x

Sharpe

0.28

0.61

Sortino

0.39

0.90

Omega

1.05

1.10

Calmar

0.13

1.17

Martin

0.58

2.37

Comparisons

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AEM vs XLB: returns, Sharpe ratio and drawdown

AEM vs XLB

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