HSBC vs XLF: returns, Sharpe ratio and drawdown
Performance
HSBC+44.01%XLF+5.17%
Summary
HSBC vs XLF
Over the past year, HSBC returned +44.01% against +5.17% for XLF. Over five years, HSBC averaged +25.95% a year, compared with +6.68% for XLF. HSBC had the higher Sharpe ratio over the past year (1.31 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -18.57% for HSBC.
Current Drawdown
HSBC-12.32%XLF-5.19%
Rolling Volatility
HSBC+1.40%XLF+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HSBCXLF
Alpha
HSBC
24.30%
XLF
-3.77%
Beta
HSBC
1.28x
XLF
0.58x
Sharpe
HSBC
1.31
XLF
0.11
Sortino
HSBC
2.05
XLF
0.16
Omega
HSBC
1.25
XLF
1.02
Calmar
HSBC
2.37
XLF
0.34
Martin
HSBC
6.22
XLF
0.26
Comparisons