Performance

COR+2.30%XLV+16.62%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
COR	+1.29%	-5.17%	+2.30%	+21.87%	-32.56%	0.09
XLV	-0.39%	+8.13%	+16.62%	+5.63%	-10.84%	0.78

Summary

COR vs XLV

Over the past year, XLV returned +16.62% against +2.30% for COR. Over five years, COR averaged +21.87% a year, compared with +5.63% for XLV. XLV had the higher Sharpe ratio over the past year (0.78 vs 0.09), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.84% for XLV and -32.56% for COR.

Current Drawdown

COR-14.25%XLV-4.28%

Rolling Volatility

COR+1.49%XLV+0.68%

METRICS

Correlation Matrix

	COR	XLV
COR	1.00	0.27
XLV	0.27	1.00

Metrics

Risk Indicators

CORXLV

Alpha

4.46%

9.42%

Beta

-0.15x

0.27x

Sharpe

0.09

0.78

Sortino

0.11

1.26

Omega

1.02

1.14

Calmar

0.07

1.53

Martin

0.19

2.59

Comparisons

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COR vs SPY
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COR vs XLV: returns, Sharpe ratio and drawdown

COR vs XLV

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