KXI vs XLP: returns, Sharpe ratio and drawdown

Over the past year, XLP returned +21.74% against +16.78% for KXI. Over five years, XLP averaged +7.26% a year, compared with +5.53% for KXI. XLP had the higher Sharpe ratio over the past year (1.10 vs 0.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.69% for XLP and -10.68% for KXI. Dividends over the past year came to 2.42% of XLP's price, against 2.19% for KXI. Their daily returns had a correlation of 0.95 over the past year, which is very high.

KXI charges 0.38% a year and XLP 0.08%. Over five years, reinvested dividends added 2.51 points a year to KXI's return and 2.79 to XLP's.