GGG vs XLI: returns, Sharpe ratio and drawdown
Performance
GGG-0.43%XLI+9.28%
Summary
GGG vs XLI
Over the past year, XLI returned +9.28% against -0.43% for GGG. Over five years, XLI averaged +10.00% a year, compared with +1.76% for GGG. XLI had the higher Sharpe ratio over the past year (0.35 vs -0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -22.87% for GGG.
Current Drawdown
GGG-13.53%XLI-10.05%
Rolling Volatility
GGG+0.98%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GGGXLI
Alpha
GGG
-7.57%
XLI
-2.77%
Beta
GGG
0.50x
XLI
0.94x
Sharpe
GGG
-0.14
XLI
0.35
Sortino
GGG
-0.20
XLI
0.50
Omega
GGG
0.98
XLI
1.06
Calmar
GGG
-0.02
XLI
0.74
Martin
GGG
-0.22
XLI
1.30
Comparisons