KNX vs XLI: returns, Sharpe ratio and drawdown
Performance
KNX+36.24%XLI+9.28%
Summary
KNX vs XLI
Over the past year, KNX returned +36.24% against +9.28% for XLI. Over five years, XLI averaged +10.00% a year, compared with +2.73% for KNX. KNX had the higher Sharpe ratio over the past year (0.89 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -23.58% for KNX.
Current Drawdown
KNX-21.39%XLI-10.05%
Rolling Volatility
KNX+1.69%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KNXXLI
Alpha
KNX
24.78%
XLI
-2.77%
Beta
KNX
1.01x
XLI
0.94x
Sharpe
KNX
0.89
XLI
0.35
Sortino
KNX
1.41
XLI
0.50
Omega
KNX
1.16
XLI
1.06
Calmar
KNX
1.54
XLI
0.74
Martin
KNX
3.29
XLI
1.30
Comparisons