DKS vs XLY: returns, Sharpe ratio and drawdown
Performance
DKS-36.07%XLY-4.81%
Summary
DKS vs XLY
Over the past year, XLY returned -4.81% against -36.07% for DKS. Over five years, DKS averaged +3.07% a year, compared with +2.27% for XLY. XLY had the higher Sharpe ratio over the past year (-0.40 vs -0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -49.35% for DKS.
Current Drawdown
DKS-39.65%XLY-9.69%
Rolling Volatility
DKS+2.38%XLY+0.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DKSXLY
Alpha
DKS
-45.36%
XLY
-18.43%
Beta
DKS
0.88x
XLY
1.16x
Sharpe
DKS
-0.78
XLY
-0.40
Sortino
DKS
-0.94
XLY
-0.55
Omega
DKS
0.85
XLY
0.94
Calmar
DKS
-0.73
XLY
-0.32
Martin
DKS
-1.87
XLY
-1.10
Comparisons