HRB vs XLY: returns, Sharpe ratio and drawdown
Performance
HRB-5.26%XLY-4.81%
Summary
HRB vs XLY
Over the past year, XLY returned -4.81% against -5.26% for HRB. Over five years, HRB averaged +16.22% a year, compared with +2.27% for XLY. HRB had the higher Sharpe ratio over the past year (0.02 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -45.95% for HRB.
Current Drawdown
HRB-10.17%XLY-9.69%
Rolling Volatility
HRB+2.36%XLY+0.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HRBXLY
Alpha
HRB
3.28%
XLY
-18.43%
Beta
HRB
-0.25x
XLY
1.16x
Sharpe
HRB
0.02
XLY
-0.40
Sortino
HRB
0.03
XLY
-0.55
Omega
HRB
1.00
XLY
0.94
Calmar
HRB
-0.11
XLY
-0.32
Martin
HRB
0.04
XLY
-1.10
Comparisons