IBB vs XBI: returns, Sharpe ratio and drawdown
Performance
IBB+29.08%XBI+31.00%
Summary
IBB vs XBI
Over the past year, XBI returned +31.00% against +29.08% for IBB. Over five years, IBB averaged +4.86% a year, compared with +2.97% for XBI. IBB had the higher Sharpe ratio over the past year (1.06 vs 0.94), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.70% for IBB and -14.88% for XBI.
Current Drawdown
IBB-6.90%XBI-14.88%
Rolling Volatility
IBB+1.60%XBI+1.93%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IBBXBI
Alpha
IBB
16.56%
XBI
16.96%
Beta
IBB
0.79x
XBI
1.08x
Sharpe
IBB
1.06
XBI
0.94
Sortino
IBB
1.64
XBI
1.41
Omega
IBB
1.19
XBI
1.16
Calmar
IBB
3.00
XBI
2.08
Martin
IBB
6.20
XBI
5.35
Comparisons