Performance

GEV+57.56%XLI+9.86%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
GEV	+0.23%	+47.06%	+57.56%	+130.44%	-24.57%	1.05
XLI	+0.33%	+6.60%	+9.86%	+10.39%	-12.46%	0.38

Summary

GEV vs XLI

Over the past year, GEV returned +57.56% against +9.86% for XLI. Over five years, GEV averaged +130.44% a year, compared with +10.39% for XLI. GEV had the higher Sharpe ratio over the past year (1.05 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 -24.57% for GEV.

Current Drawdown

GEV-13.25%XLI-9.71%

Rolling Volatility

GEV+2.81%XLI+0.86%

METRICS

Correlation Matrix

	GEV	XLI
GEV	1.00	0.59
XLI	0.59	1.00

Metrics

Risk Indicators

GEVXLI

Alpha

34.14%

-3.48%

Beta

1.95x

0.93x

Sharpe

1.05

0.38

Sortino

1.60

0.54

Omega

1.20

1.06

Calmar

2.34

0.79

Martin

5.11

1.51

Comparisons

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GEV vs GE
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GEV vs SPY
GEV vs ETN
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XLI vs VOO
XLI vs DIA
XLI vs XLU

GEV vs XLI: returns, Sharpe ratio and drawdown

GEV vs XLI

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