EFX vs XLI: returns, Sharpe ratio and drawdown
Performance
EFX-37.60%XLI+9.86%
Summary
EFX vs XLI
Over the past year, XLI returned +9.86% against -37.60% for EFX. Over five years, XLI averaged +10.39% a year, compared with -11.25% for EFX. XLI had the higher Sharpe ratio over the past year (0.38 vs -1.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -41.30% for EFX.
Current Drawdown
EFX-37.75%XLI-9.71%
Rolling Volatility
EFX+1.83%XLI+0.86%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EFXXLI
Alpha
EFX
-50.72%
XLI
-3.48%
Beta
EFX
0.55x
XLI
0.93x
Sharpe
EFX
-1.17
XLI
0.38
Sortino
EFX
-1.50
XLI
0.54
Omega
EFX
0.82
XLI
1.06
Calmar
EFX
-0.91
XLI
0.79
Martin
EFX
-2.05
XLI
1.51
Comparisons