DPZ vs XLY: returns, Sharpe ratio and drawdown
Performance
DPZ-23.85%XLY-5.02%
Summary
DPZ vs XLY
Over the past year, XLY returned -5.02% against -23.85% for DPZ. Over five years, XLY averaged +3.41% a year, compared with -7.48% for DPZ. XLY had the higher Sharpe ratio over the past year (-0.40 vs -0.88), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -35.44% for DPZ.
Current Drawdown
DPZ-29.60%XLY-10.29%
Rolling Volatility
DPZ+1.84%XLY+0.83%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DPZXLY
Alpha
DPZ
-28.40%
XLY
-20.36%
Beta
DPZ
0.10x
XLY
1.16x
Sharpe
DPZ
-0.88
XLY
-0.40
Sortino
DPZ
-1.21
XLY
-0.55
Omega
DPZ
0.86
XLY
0.94
Calmar
DPZ
-0.67
XLY
-0.33
Martin
DPZ
-1.39
XLY
-1.16
Comparisons