Performance

FIG-61.43%XLK+27.33%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
FIG	-6.52%	-42.86%	-61.43%	—	-69.77%	-0.98
XLK	-3.02%	+27.14%	+27.33%	+17.96%	-16.15%	0.89

Summary

FIG vs XLK

Over the past year, XLK returned +27.33% against -61.43% for FIG. XLK had the higher Sharpe ratio over the past year (0.89 vs -0.98), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for XLK and -69.77% for FIG.

Current Drawdown

FIG-61.43%XLK-9.17%

Rolling Volatility

FIG+2.92%XLK+1.33%

METRICS

Correlation Matrix

	FIG	XLK
FIG	1.00	0.11
XLK	0.11	1.00

Metrics

Risk Indicators

FIGXLK

Alpha

-83.09%

7.04%

Beta

1.08x

1.77x

Sharpe

-0.98

0.89

Sortino

-1.41

1.29

Omega

0.85

1.16

Calmar

-0.88

1.69

Martin

-1.37

3.65

Comparisons

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FIG vs XLK: returns, Sharpe ratio and drawdown

FIG vs XLK

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