NET vs XLK: returns, Sharpe ratio and drawdown
Performance
NET+39.08%XLK+27.33%
Summary
NET vs XLK
Over the past year, NET returned +39.08% against +27.33% for XLK. Over five years, XLK averaged +17.96% a year, compared with +8.82% for NET. XLK had the higher Sharpe ratio over the past year (0.89 vs 0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for XLK and -36.76% for NET.
Current Drawdown
NET-17.91%XLK-9.17%
Rolling Volatility
NET+3.44%XLK+1.33%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NETXLK
Alpha
NET
35.32%
XLK
7.04%
Beta
NET
1.65x
XLK
1.77x
Sharpe
NET
0.78
XLK
0.89
Sortino
NET
1.11
XLK
1.29
Omega
NET
1.14
XLK
1.16
Calmar
NET
1.06
XLK
1.69
Martin
NET
2.86
XLK
3.65
Comparisons