MMM vs XLI: returns, Sharpe ratio and drawdown
Performance
MMM+7.00%XLI+9.86%
Summary
MMM vs XLI
Over the past year, XLI returned +9.86% against +7.00% for MMM. Over five years, XLI averaged +10.39% a year, compared with +1.47% for MMM. XLI had the higher Sharpe ratio over the past year (0.38 vs 0.22), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -19.59% for MMM.
Current Drawdown
MMM-10.99%XLI-9.71%
Rolling Volatility
MMM+1.27%XLI+0.86%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MMMXLI
Alpha
MMM
-2.02%
XLI
-3.48%
Beta
MMM
0.73x
XLI
0.93x
Sharpe
MMM
0.22
XLI
0.38
Sortino
MMM
0.34
XLI
0.54
Omega
MMM
1.04
XLI
1.06
Calmar
MMM
0.36
XLI
0.79
Martin
MMM
0.60
XLI
1.51
Comparisons