GLXY vs XLF: returns, Sharpe ratio and drawdown
Performance
GLXY-59.29%XLF+5.17%
Summary
GLXY vs XLF
Over the past year, XLF returned +5.17% against -59.29% for GLXY. XLF had the higher Sharpe ratio over the past year (0.11 vs -0.57), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -62.34% for GLXY.
Current Drawdown
GLXY-62.34%XLF-5.19%
Rolling Volatility
GLXY+4.75%XLF+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GLXYXLF
Alpha
GLXY
-89.44%
XLF
-3.77%
Beta
GLXY
3.98x
XLF
0.58x
Sharpe
GLXY
-0.57
XLF
0.11
Sortino
GLXY
-0.80
XLF
0.16
Omega
GLXY
0.91
XLF
1.02
Calmar
GLXY
-0.95
XLF
0.34
Martin
GLXY
-1.25
XLF
0.26
Comparisons