CRH vs XLB: returns, Sharpe ratio and drawdown
Performance
CRH-28.78%XLB+14.52%
Summary
CRH vs XLB
Over the past year, XLB returned +14.52% against -28.78% for CRH. Over five years, CRH averaged +11.85% a year, compared with +3.68% for XLB. XLB had the higher Sharpe ratio over the past year (0.61 vs -1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.38% for XLB and -39.72% for CRH.
Current Drawdown
CRH-36.34%XLB-5.12%
Rolling Volatility
CRH+1.63%XLB+0.92%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRHXLB
Alpha
CRH
-45.83%
XLB
4.22%
Beta
CRH
1.31x
XLB
0.71x
Sharpe
CRH
-1.04
XLB
0.61
Sortino
CRH
-1.44
XLB
0.90
Omega
CRH
0.85
XLB
1.10
Calmar
CRH
-0.72
XLB
1.17
Martin
CRH
-1.73
XLB
2.37
Comparisons