Performance

LNC+2.13%XLF+5.17%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
LNC	-0.45%	-11.51%	+2.13%	-11.27%	-29.85%	0.10
XLF	+0.45%	+1.07%	+5.17%	+6.68%	-15.23%	0.11

Summary

LNC vs XLF

Over the past year, XLF returned +5.17% against +2.13% for LNC. Over five years, XLF averaged +6.68% a year, compared with -11.27% for LNC. XLF had the higher Sharpe ratio over the past year (0.11 vs 0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -29.85% for LNC.

Current Drawdown

LNC-15.26%XLF-5.19%

Rolling Volatility

LNC+1.32%XLF+0.77%

METRICS

Correlation Matrix

	LNC	XLF
LNC	1.00	0.65
XLF	0.65	1.00

Metrics

Risk Indicators

LNCXLF

Alpha

-6.31%

-3.77%

Beta

1.04x

0.58x

Sharpe

0.10

0.11

Sortino

0.14

0.16

Omega

1.02

Calmar

0.07

0.34

Martin

0.21

0.26

Comparisons

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LNC vs SPY
LNC vs MET
LNC vs CRBG
LNC vs VOYA
LNC vs EQH

More XLF comparisons

XLF vs VFH
XLF vs VOO
XLF vs KBWB
XLF vs SPY
XLF vs KRE
XLF vs IYF

LNC vs XLF: returns, Sharpe ratio and drawdown

LNC vs XLF

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