EBAY vs XLY: returns, Sharpe ratio and drawdown
Performance
EBAY+24.24%XLY-5.02%
Summary
EBAY vs XLY
Over the past year, EBAY returned +24.24% against -5.02% for XLY. Over five years, EBAY averaged +8.40% a year, compared with +3.41% for XLY. EBAY had the higher Sharpe ratio over the past year (0.67 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -19.88% for EBAY.
Current Drawdown
EBAY-5.87%XLY-10.29%
Rolling Volatility
EBAY+1.63%XLY+0.83%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EBAYXLY
Alpha
EBAY
16.42%
XLY
-20.36%
Beta
EBAY
0.70x
XLY
1.16x
Sharpe
EBAY
0.67
XLY
-0.40
Sortino
EBAY
0.88
XLY
-0.55
Omega
EBAY
1.13
XLY
0.94
Calmar
EBAY
1.22
XLY
-0.33
Martin
EBAY
2.34
XLY
-1.16
Comparisons