KNSL vs XLF: returns, Sharpe ratio and drawdown
Performance
KNSL-17.50%XLF+5.17%
Summary
KNSL vs XLF
Over the past year, XLF returned +5.17% against -17.50% for KNSL. Over five years, KNSL averaged +14.41% a year, compared with +6.68% for XLF. XLF had the higher Sharpe ratio over the past year (0.11 vs -0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -36.04% for KNSL.
Current Drawdown
KNSL-19.50%XLF-5.19%
Rolling Volatility
KNSL+1.90%XLF+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KNSLXLF
Alpha
KNSL
-15.60%
XLF
-3.77%
Beta
KNSL
-0.25x
XLF
0.58x
Sharpe
KNSL
-0.52
XLF
0.11
Sortino
KNSL
-0.70
XLF
0.16
Omega
KNSL
0.92
XLF
1.02
Calmar
KNSL
-0.49
XLF
0.34
Martin
KNSL
-0.82
XLF
0.26
Comparisons