CHE vs XLV: returns, Sharpe ratio and drawdown
Performance
CHE+15.15%XLV+22.05%
Summary
CHE vs XLV
Over the past year, XLV returned +22.05% against +15.15% for CHE. Over five years, XLV averaged +5.76% a year, compared with +1.23% for CHE. XLV had the higher Sharpe ratio over the past year (1.05 vs 0.49), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.84% for XLV and -22.98% for CHE.
Current Drawdown
CHE-7.30%XLV-0.27%
Rolling Volatility
CHE+1.12%XLV+0.99%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CHEXLV
Alpha
CHE
13.97%
XLV
14.72%
Beta
CHE
0.01x
XLV
0.24x
Sharpe
CHE
0.49
XLV
1.05
Sortino
CHE
0.65
XLV
1.73
Omega
CHE
1.10
XLV
1.19
Calmar
CHE
0.66
XLV
2.03
Martin
CHE
1.45
XLV
3.57
Comparisons