Performance

AU+23.28%XLB+14.52%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
AU	+1.37%	+8.43%	+23.28%	+38.39%	-41.62%	0.58
XLB	+0.71%	+10.41%	+14.52%	+3.68%	-12.38%	0.61

Summary

AU vs XLB

Over the past year, AU returned +23.28% against +14.52% for XLB. Over five years, AU averaged +38.39% a year, compared with +3.68% for XLB. XLB had the higher Sharpe ratio over the past year (0.61 vs 0.58), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.38% for XLB and -41.62% for AU.

Current Drawdown

AU-27.63%XLB-5.12%

Rolling Volatility

AU+2.55%XLB+0.92%

METRICS

Correlation Matrix

	AU	XLB
AU	1.00	0.56
XLB	0.56	1.00

Metrics

Risk Indicators

AUXLB

Alpha

15.84%

4.22%

Beta

2.09x

0.71x

Sharpe

0.58

0.61

Sortino

0.83

0.90

Omega

1.10

Calmar

0.56

1.17

Martin

1.59

2.37

Comparisons

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AU vs SPY
AU vs WPM
AU vs AEM
AU vs NEM
AU vs B

More XLB comparisons

XLB vs XME
XLB vs GDX
XLB vs COPX
XLB vs RING
XLB vs SIL
XLB vs SILJ

AU vs XLB: returns, Sharpe ratio and drawdown

AU vs XLB

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