Performance

ETN+12.55%XLI+9.86%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
ETN	-1.58%	+29.70%	+12.55%	+21.39%	-18.55%	0.39
XLI	+0.33%	+6.60%	+9.86%	+10.39%	-12.46%	0.38

Summary

ETN vs XLI

Over the past year, ETN returned +12.55% against +9.86% for XLI. Over five years, ETN averaged +21.39% a year, compared with +10.39% for XLI. ETN had the higher Sharpe ratio over the past year (0.39 vs 0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -18.55% for ETN.

Current Drawdown

ETN-7.71%XLI-9.71%

Rolling Volatility

ETN+2.56%XLI+0.86%

METRICS

Correlation Matrix

	ETN	XLI
ETN	1.00	0.72
XLI	0.72	1.00

Metrics

Risk Indicators

ETNXLI

Alpha

-3.45%

-3.48%

Beta

1.73x

0.93x

Sharpe

0.39

0.38

Sortino

0.54

Omega

1.07

1.06

Calmar

0.68

0.79

Martin

1.67

1.51

Comparisons

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ETN vs SPY
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ETN vs TT
ETN vs CMI
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XLI vs VOO
XLI vs DIA
XLI vs XLU

ETN vs XLI: returns, Sharpe ratio and drawdown

ETN vs XLI

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