GL vs XLF: returns, Sharpe ratio and drawdown
Performance
GL+21.71%XLF+1.71%
Summary
GL vs XLF
Over the past year, GL returned +21.71% against +1.71% for XLF. Over five years, GL averaged +11.28% a year, compared with +6.56% for XLF. GL had the higher Sharpe ratio over the past year (0.88 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.15% for GL and -15.23% for XLF.
Current Drawdown
GL-10.72%XLF-7.39%
Rolling Volatility
GL+0.75%XLF+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GLXLF
Alpha
GL
14.10%
XLF
-8.39%
Beta
GL
0.30x
XLF
0.62x
Sharpe
GL
0.88
XLF
-0.12
Sortino
GL
1.20
XLF
-0.16
Omega
GL
1.16
XLF
0.98
Calmar
GL
1.79
XLF
0.11
Martin
GL
3.94
XLF
-0.27