MTG vs XLF: returns, Sharpe ratio and drawdown
Performance
MTG+2.88%XLF+5.17%
Summary
MTG vs XLF
Over the past year, XLF returned +5.17% against +2.88% for MTG. Over five years, MTG averaged +11.58% a year, compared with +6.68% for XLF. XLF had the higher Sharpe ratio over the past year (0.11 vs 0.06), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -17.89% for MTG.
Current Drawdown
MTG-11.50%XLF-5.19%
Rolling Volatility
MTG+2.23%XLF+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MTGXLF
Alpha
MTG
0.39%
XLF
-3.77%
Beta
MTG
0.12x
XLF
0.58x
Sharpe
MTG
0.06
XLF
0.11
Sortino
MTG
0.08
XLF
0.16
Omega
MTG
1.01
XLF
1.02
Calmar
MTG
0.16
XLF
0.34
Martin
MTG
0.17
XLF
0.26
Comparisons