AIT vs XLI: returns, Sharpe ratio and drawdown
Performance
AIT+32.42%XLI+9.28%
Summary
AIT vs XLI
Over the past year, AIT returned +32.42% against +9.28% for XLI. Over five years, AIT averaged +27.86% a year, compared with +10.00% for XLI. AIT had the higher Sharpe ratio over the past year (1.06 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -13.02% for AIT.
Current Drawdown
AIT-8.69%XLI-10.05%
Rolling Volatility
AIT+1.27%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AITXLI
Alpha
AIT
20.05%
XLI
-2.77%
Beta
AIT
0.77x
XLI
0.94x
Sharpe
AIT
1.06
XLI
0.35
Sortino
AIT
1.53
XLI
0.50
Omega
AIT
1.19
XLI
1.06
Calmar
AIT
2.49
XLI
0.74
Martin
AIT
5.13
XLI
1.30
Comparisons