AWI vs XLI: returns, Sharpe ratio and drawdown
Performance
AWI-16.43%XLI+9.28%
Summary
AWI vs XLI
Over the past year, XLI returned +9.28% against -16.43% for AWI. Over five years, XLI averaged +10.00% a year, compared with +9.81% for AWI. XLI had the higher Sharpe ratio over the past year (0.35 vs -0.70), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -25.66% for AWI.
Current Drawdown
AWI-17.45%XLI-10.05%
Rolling Volatility
AWI+0.95%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AWIXLI
Alpha
AWI
-26.16%
XLI
-2.77%
Beta
AWI
0.77x
XLI
0.94x
Sharpe
AWI
-0.70
XLI
0.35
Sortino
AWI
-0.94
XLI
0.50
Omega
AWI
0.89
XLI
1.06
Calmar
AWI
-0.64
XLI
0.74
Martin
AWI
-1.19
XLI
1.30
Comparisons