ITB vs XRT: returns, Sharpe ratio and drawdown
Performance
ITB-16.83%XRT+2.59%
Summary
ITB vs XRT
Over the past year, XRT returned +2.59% against -16.83% for ITB. Over five years, ITB averaged +3.75% a year, compared with -1.60% for XRT. XRT had the higher Sharpe ratio over the past year (0.01 vs -0.64), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.77% for XRT and -26.57% for ITB.
Current Drawdown
ITB-23.92%XRT-5.77%
Rolling Volatility
ITB+1.67%XRT+1.03%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ITBXRT
Alpha
ITB
-28.44%
XRT
-7.50%
Beta
ITB
1.03x
XRT
0.82x
Sharpe
ITB
-0.64
XRT
0.01
Sortino
ITB
-0.97
XRT
0.01
Omega
ITB
0.90
XRT
1.00
Calmar
ITB
-0.63
XRT
0.19
Martin
ITB
-1.31
XRT
0.02
Comparisons