CRWV vs XLK: returns, Sharpe ratio and drawdown
Performance
CRWV-51.68%XLK+27.33%
Summary
CRWV vs XLK
Over the past year, XLK returned +27.33% against -51.68% for CRWV. XLK had the higher Sharpe ratio over the past year (0.89 vs -0.34), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for XLK and -56.54% for CRWV.
Current Drawdown
CRWV-56.13%XLK-9.17%
Rolling Volatility
CRWV+5.24%XLK+1.33%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRWVXLK
Alpha
CRWV
-65.75%
XLK
7.04%
Beta
CRWV
3.58x
XLK
1.77x
Sharpe
CRWV
-0.34
XLK
0.89
Sortino
CRWV
-0.51
XLK
1.29
Omega
CRWV
0.94
XLK
1.16
Calmar
CRWV
-0.91
XLK
1.69
Martin
CRWV
-0.90
XLK
3.65
Comparisons