LINE vs XLRE: returns, Sharpe ratio and drawdown
Performance
LINE-18.35%XLRE-0.75%
Summary
LINE vs XLRE
Over the past year, XLRE returned -0.75% against -18.35% for LINE. XLRE had the higher Sharpe ratio over the past year (-0.30 vs -0.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.82% for XLRE and -26.21% for LINE.
Current Drawdown
LINE-26.21%XLRE-8.37%
Rolling Volatility
LINE+1.46%XLRE+0.84%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LINEXLRE
Alpha
LINE
-27.87%
XLRE
-6.79%
Beta
LINE
1.03x
XLRE
0.27x
Sharpe
LINE
-0.50
XLRE
-0.30
Sortino
LINE
-0.72
XLRE
-0.41
Omega
LINE
0.92
XLRE
0.95
Calmar
LINE
-0.70
XLRE
-0.06
Martin
LINE
-1.41
XLRE
-0.97
Comparisons