OMC vs XLC: returns, Sharpe ratio and drawdown
Performance
OMC-1.48%XLC-2.48%
Summary
OMC vs XLC
Over the past year, OMC returned -1.48% against -2.48% for XLC. Over five years, XLC averaged +6.91% a year, compared with -0.03% for OMC. OMC had the higher Sharpe ratio over the past year (0.01 vs -0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.24% for XLC and -18.21% for OMC.
Current Drawdown
OMC-14.04%XLC-6.67%
Rolling Volatility
OMC+1.37%XLC+1.25%
METRICS
Correlation Matrix
Metrics
Risk Indicators
OMCXLC
Alpha
OMC
-4.27%
XLC
-13.25%
Beta
OMC
0.42x
XLC
0.69x
Sharpe
OMC
0.01
XLC
-0.36
Sortino
OMC
0.01
XLC
-0.50
Omega
OMC
1.00
XLC
0.94
Calmar
OMC
-0.08
XLC
-0.20
Martin
OMC
0.03
XLC
-1.07
Comparisons