Performance

CME+2.83%XLF+1.71%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CME	+2.28%	+2.51%	+2.83%	+5.48%	-33.05%	0.06
XLF	+0.89%	-1.27%	+1.71%	+6.56%	-15.23%	-0.12

Summary

CME vs XLF

Over the past year, CME returned +2.83% against +1.71% for XLF. Over five years, XLF averaged +6.56% a year, compared with +5.48% for CME. CME had the higher Sharpe ratio over the past year (0.06 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -33.05% for CME.

Current Drawdown

CME-15.32%XLF-7.39%

Rolling Volatility

CME+1.38%XLF+0.73%

METRICS

Correlation Matrix

	CME	XLF
CME	1.00	0.13
XLF	0.13	1.00

Metrics

Risk Indicators

CMEXLF

Alpha

4.30%

-8.39%

Beta

-0.27x

0.62x

Sharpe

0.06

-0.12

Sortino

0.08

-0.16

Omega

1.01

0.98

Calmar

0.09

0.11

Martin

0.10

-0.27

Comparisons

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XLF vs VOO
XLF vs SPY
XLF vs QQQ

CME vs XLF: returns, Sharpe ratio and drawdown

CME vs XLF

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