PCTY vs XLI: returns, Sharpe ratio and drawdown
Performance
PCTY+9.63%XLI+9.28%
Summary
PCTY vs XLI
Over the past year, PCTY returned +9.63% against +9.28% for XLI. Over five years, XLI averaged +10.00% a year, compared with -11.50% for PCTY. XLI had the higher Sharpe ratio over the past year (0.35 vs 0.32), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -38.60% for PCTY.
Current Drawdown
PCTY+0.00%XLI-10.05%
Rolling Volatility
PCTY+1.55%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PCTYXLI
Alpha
PCTY
14.59%
XLI
-2.77%
Beta
PCTY
-0.12x
XLI
0.94x
Sharpe
PCTY
0.32
XLI
0.35
Sortino
PCTY
0.47
XLI
0.50
Omega
PCTY
1.06
XLI
1.06
Calmar
PCTY
0.25
XLI
0.74
Martin
PCTY
0.65
XLI
1.30
Comparisons