FLS vs XLI: returns, Sharpe ratio and drawdown
Performance
FLS+37.65%XLI+9.28%
Summary
FLS vs XLI
Over the past year, FLS returned +37.65% against +9.28% for XLI. Over five years, FLS averaged +16.08% a year, compared with +10.00% for XLI. FLS had the higher Sharpe ratio over the past year (0.79 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -30.04% for FLS.
Current Drawdown
FLS-23.38%XLI-10.05%
Rolling Volatility
FLS+1.74%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FLSXLI
Alpha
FLS
23.86%
XLI
-2.77%
Beta
FLS
1.72x
XLI
0.94x
Sharpe
FLS
0.79
XLI
0.35
Sortino
FLS
1.42
XLI
0.50
Omega
FLS
1.18
XLI
1.06
Calmar
FLS
1.25
XLI
0.74
Martin
FLS
2.63
XLI
1.30
Comparisons