MAT vs XLY: returns, Sharpe ratio and drawdown
Performance
MAT-6.37%XLY-4.81%
Summary
MAT vs XLY
Over the past year, XLY returned -4.81% against -6.37% for MAT. Over five years, XLY averaged +2.27% a year, compared with -4.67% for MAT. MAT had the higher Sharpe ratio over the past year (-0.03 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -42.87% for MAT.
Current Drawdown
MAT-22.38%XLY-9.69%
Rolling Volatility
MAT+4.35%XLY+0.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MATXLY
Alpha
MAT
-6.77%
XLY
-18.43%
Beta
MAT
0.59x
XLY
1.16x
Sharpe
MAT
-0.03
XLY
-0.40
Sortino
MAT
-0.04
XLY
-0.55
Omega
MAT
0.99
XLY
0.94
Calmar
MAT
-0.15
XLY
-0.32
Martin
MAT
-0.05
XLY
-1.10
Comparisons