FDS vs XLF: returns, Sharpe ratio and drawdown
Performance
FDS+1.22%XLF+1.71%
Summary
FDS vs XLF
Over the past year, XLF returned +1.71% against +1.22% for FDS. Over five years, XLF averaged +6.56% a year, compared with -7.16% for FDS. FDS had the higher Sharpe ratio over the past year (0.17 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -35.99% for FDS.
Current Drawdown
FDS-8.62%XLF-7.39%
Rolling Volatility
FDS+3.06%XLF+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FDSXLF
Alpha
FDS
7.05%
XLF
-8.39%
Beta
FDS
0.08x
XLF
0.62x
Sharpe
FDS
0.17
XLF
-0.12
Sortino
FDS
0.24
XLF
-0.16
Omega
FDS
1.03
XLF
0.98
Calmar
FDS
0.03
XLF
0.11
Martin
FDS
0.44
XLF
-0.27
Comparisons