BURL vs XLY: returns, Sharpe ratio and drawdown
Performance
BURL-1.72%XLY-4.81%
Summary
BURL vs XLY
Over the past year, BURL returned -1.72% against -4.81% for XLY. Over five years, XLY averaged +2.27% a year, compared with -1.01% for BURL. BURL had the higher Sharpe ratio over the past year (0.04 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -38.93% for BURL.
Current Drawdown
BURL-29.43%XLY-9.69%
Rolling Volatility
BURL+2.21%XLY+0.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BURLXLY
Alpha
BURL
-5.83%
XLY
-18.43%
Beta
BURL
0.82x
XLY
1.16x
Sharpe
BURL
0.04
XLY
-0.40
Sortino
BURL
0.06
XLY
-0.55
Omega
BURL
1.01
XLY
0.94
Calmar
BURL
-0.04
XLY
-0.32
Martin
BURL
0.13
XLY
-1.10
Comparisons