Performance

ALB+5.80%XLB+11.13%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
ALB	-0.63%	-29.06%	+5.80%	-14.94%	-52.65%	0.30
XLB	+0.59%	+6.83%	+11.13%	+3.22%	-12.38%	0.44

Summary

ALB vs XLB

Over the past year, XLB returned +11.13% against +5.80% for ALB. Over five years, XLB averaged +3.22% a year, compared with -14.94% for ALB. XLB had the higher Sharpe ratio over the past year (0.44 vs 0.30), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.38% for XLB and -52.65% for ALB.

Current Drawdown

ALB-52.65%XLB-8.20%

Rolling Volatility

ALB+2.50%XLB+0.88%

METRICS

Correlation Matrix

	ALB	XLB
ALB	1.00	0.45
XLB	0.45	1.00

Metrics

Risk Indicators

ALBXLB

Alpha

1.42%

-0.06%

Beta

1.48x

0.73x

Sharpe

0.30

0.44

Sortino

0.45

0.64

Omega

1.05

1.07

Calmar

0.11

0.90

Martin

0.68

1.76

Comparisons

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ALB vs SPY
ALB vs FCX
ALB vs NEM
ALB vs DD
ALB vs MOS

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XLB vs VOO

ALB vs XLB: returns, Sharpe ratio and drawdown

ALB vs XLB

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